Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sonos, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sonos, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.5%, MDD -15.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.0%, drawdown -82.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.5%, MDD -21.2%, Sharpe 0.75, 10% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 12.6%, MDD -24.1%, exposure 17%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR 7.5%, MDD -15.1%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=22, mult=3.5 |
10.5% | -21.2% | 0.75 | 0.50 | 2.2x | 10 | 10% |
| ADX / DI 방향성 period=39, threshold=29 |
7.5% | -15.1% | 0.74 | 0.50 | 1.8x | 2 | 3% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
12.6% | -24.1% | 0.65 | 0.52 | 2.6x | 20 | 17% |
| SMA 크로스오버 fast=9, slow=119 |
12.4% | -45.6% | 0.51 | 0.27 | 2.6x | 25 | 44% |
| EMA 크로스오버 fast=28, slow=59 |
12.2% | -42.6% | 0.50 | 0.29 | 2.5x | 21 | 45% |
| MACD fast=19, slow=44, signal=20 |
11.0% | -70.5% | 0.46 | 0.16 | 2.3x | 70 | 52% |
| Donchian 채널 돌파 entryN=13, exitN=64 |
10.9% | -69.8% | 0.46 | 0.16 | 2.3x | 25 | 74% |
| ROC 모멘텀 n=41, threshold=0.12 |
8.2% | -50.8% | 0.41 | 0.16 | 1.9x | 101 | 27% |
| Supertrend period=28, mult=4.9 |
2.4% | -61.9% | 0.26 | 0.04 | 1.2x | 21 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.6% | -73.2% | 0.10 | -0.05 | 0.7x | 106 | 48% |
| Buy and hold | -3.0% | -82.5% | 0.22 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 24-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 24-day average