Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pentair plc. backtest
10 trend-following strategies were compared on the full daily history of Pentair plc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -77.7%).
Sharpe leader (same as main): Supertrend — CAGR 5.1%, MDD -69.0%, Sharpe 0.33, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.5 |
5.1% | -69.0% | 0.33 | 0.07 | 14.2x | 212 | 58% |
| Donchian 채널 돌파 entryN=25, exitN=115 |
4.7% | -73.4% | 0.31 | 0.06 | 11.8x | 96 | 81% |
| ADX / DI 방향성 period=32, threshold=37 |
1.7% | -21.6% | 0.28 | 0.08 | 2.5x | 18 | 3% |
| SMA 크로스오버 fast=31, slow=163 |
3.1% | -66.8% | 0.25 | 0.05 | 5.1x | 108 | 60% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.1% | -87.2% | 0.25 | 0.04 | 5.1x | 650 | 53% |
| EMA 크로스오버 fast=14, slow=175 |
3.1% | -70.8% | 0.25 | 0.04 | 5.0x | 168 | 62% |
| MACD fast=17, slow=55, signal=19 |
1.9% | -85.5% | 0.20 | 0.02 | 2.7x | 572 | 51% |
| ROC 모멘텀 n=130, threshold=-0.02 |
1.7% | -69.5% | 0.19 | 0.02 | 2.4x | 370 | 63% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
1.2% | -62.8% | 0.15 | 0.02 | 1.8x | 92 | 16% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=10, mult=2.3 |
0.8% | -78.9% | 0.14 | 0.01 | 1.5x | 236 | 42% |
| Buy and hold | 8.1% | -77.7% | 0.40 | 0.10 | 62.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)