Trend-Following Backtester · Guide · backtest 한국어
equity · US
PennyMac Financial Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of PennyMac Financial Services, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.2%, MDD -41.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -56.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -46.2%, Sharpe 0.50, 72% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 10.5%p (CAGR 9.2%, MDD -41.6%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=68 |
10.7% | -46.2% | 0.50 | 0.23 | 3.8x | 22 | 72% |
| ROC 모멘텀 n=130, threshold=-0.02 |
9.2% | -41.6% | 0.47 | 0.22 | 3.2x | 82 | 63% |
| SMA 크로스오버 fast=58, slow=144 |
9.3% | -56.6% | 0.45 | 0.16 | 3.2x | 20 | 62% |
| EMA 크로스오버 fast=48, slow=172 |
8.7% | -56.6% | 0.44 | 0.15 | 3.0x | 16 | 64% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.4% | -49.9% | 0.37 | 0.13 | 2.3x | 164 | 52% |
| 볼린저 밴드 돌파 n=12, k=3.2 |
0.4% | -3.6% | 0.24 | 0.10 | 1.0x | 2 | 1% |
| Supertrend period=24, mult=3 |
2.0% | -59.8% | 0.21 | 0.03 | 1.3x | 84 | 52% |
| ADX / DI 방향성 period=30, threshold=14 |
0.7% | -46.3% | 0.14 | 0.01 | 1.1x | 76 | 35% |
| MACD fast=6, slow=39, signal=14 |
-1.7% | -56.5% | 0.05 | -0.03 | 0.8x | 252 | 51% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=15, mult=2.2 |
-1.3% | -48.2% | 0.04 | -0.03 | 0.8x | 70 | 27% |
| Buy and hold | 10.9% | -56.6% | 0.47 | 0.19 | 3.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 31 days
- Sell — Sell when price breaks below the lowest low of the last 68 days