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Trend-Following Backtester · Guide · backtest 한국어

equity · US

Penumbra, Inc. backtest

10 trend-following strategies were compared on the full daily history of Penumbra, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.

Data 2015-09-18 ~ 2026-08-31daily bars 2,753 (11.0 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 20.6%, drawdown -62.6%).

Sharpe leader (same as main): Supertrend — CAGR 14.9%, MDD -42.9%, Sharpe 0.62, 58% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=27, mult=3.7
14.9%-42.9%0.620.354.6x5958%
SMA 크로스오버
fast=43, slow=197
14.6%-50.8%0.600.294.5x1466%
볼린저 밴드 돌파
n=15, k=2.1
9.5%-30.9%0.530.312.7x11030%
ROC 모멘텀
n=129, threshold=-0.07
12.2%-54.4%0.520.223.5x7775%
MACD
fast=15, slow=22, signal=9
11.3%-47.5%0.510.243.2x19851%
Donchian 채널 돌파
entryN=7, exitN=69
11.1%-61.8%0.470.183.2x4187%
EMA 크로스오버
fast=59, slow=210
10.0%-54.6%0.460.182.9x1373%
ADX / DI 방향성
period=20, threshold=12
8.3%-42.5%0.420.202.4x14851%
Parabolic SAR
step=0.01, maxStep=0.16
7.1%-61.5%0.380.122.1x15256%
Keltner 채널 돌파
emaPeriod=34, atrPeriod=20, mult=1.3
6.0%-31.3%0.360.191.9x9445%
Buy and hold20.6%-62.6%0.660.337.8x1100%
1x 2016 2018 2020 2022 2024 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -31% -47% -63% 2016 2018 2020 2022 2024 2026 Buy and holdSupertrend
Supertrend maximum drawdown -42.9% (2021-04-28 → 2022-08-04), recovered after 694 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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