Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Pennant Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Pennant Group, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.6%, MDD -20.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.4%, drawdown -86.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.6%, MDD -20.4%, Sharpe 1.00, 23% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 24.3%, MDD -43.5%, exposure 41%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 20.6%, MDD -20.4%, exposure 23%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.2 |
20.6% | -20.4% | 1.00 | 1.01 | 3.6x | 6 | 23% |
| Donchian 채널 돌파 entryN=113, exitN=37 |
23.2% | -25.1% | 0.98 | 0.93 | 4.2x | 5 | 30% |
| ADX / DI 방향성 period=24, threshold=27 |
16.1% | -24.8% | 0.89 | 0.65 | 2.8x | 11 | 16% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=3.5 |
16.8% | -28.0% | 0.87 | 0.60 | 2.9x | 9 | 20% |
| EMA 크로스오버 fast=30, slow=196 |
24.3% | -43.5% | 0.83 | 0.56 | 4.4x | 7 | 41% |
| SMA 크로스오버 fast=58, slow=136 |
22.9% | -45.4% | 0.77 | 0.50 | 4.1x | 9 | 43% |
| Supertrend period=9, mult=4.9 |
22.1% | -66.9% | 0.67 | 0.33 | 3.9x | 15 | 66% |
| ROC 모멘텀 n=72, threshold=0.04 |
15.1% | -54.5% | 0.56 | 0.28 | 2.6x | 53 | 46% |
| Parabolic SAR step=0.01, maxStep=0.36 |
14.3% | -70.2% | 0.52 | 0.20 | 2.5x | 91 | 49% |
| MACD fast=17, slow=29, signal=12 |
13.7% | -70.9% | 0.51 | 0.19 | 2.4x | 96 | 49% |
| Buy and hold | 15.4% | -86.3% | 0.54 | 0.18 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 54-day middle average