Trend-Following Backtester · Guide · backtest 한국어
equity · US
SentinelOne, Inc. backtest
10 trend-following strategies were compared on the full daily history of SentinelOne, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.9%, MDD -7.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -14.7%, drawdown -84.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.7%, MDD -15.9%, Sharpe 0.50, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.2%, MDD -41.2%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 68.5%p (CAGR 1.9%, MDD -7.7%, exposure 1%).
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=52, k=3.1 |
5.7% | -15.9% | 0.50 | 0.36 | 1.3x | 2 | 4% |
| SMA 크로스오버 fast=51, slow=62 |
10.2% | -41.2% | 0.46 | 0.25 | 1.6x | 27 | 42% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=3.2 |
1.9% | -7.7% | 0.43 | 0.24 | 1.1x | 2 | 1% |
| Supertrend period=18, mult=4.1 |
0.2% | -60.3% | 0.19 | 0.00 | 1.0x | 13 | 30% |
| EMA 크로스오버 fast=26, slow=74 |
0.2% | -52.7% | 0.19 | 0.00 | 1.0x | 11 | 29% |
| ROC 모멘텀 n=65, threshold=0.04 |
-0.6% | -49.5% | 0.17 | -0.01 | 1.0x | 59 | 32% |
| Donchian 채널 돌파 entryN=97, exitN=29 |
-0.7% | -38.3% | 0.13 | -0.02 | 1.0x | 7 | 15% |
| ADX / DI 방향성 period=36, threshold=18 |
-2.3% | -38.8% | -0.08 | -0.06 | 0.9x | 10 | 7% |
| MACD fast=7, slow=18, signal=8 |
-21.3% | -88.9% | -0.31 | -0.24 | 0.3x | 136 | 56% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-19.3% | -82.0% | -0.35 | -0.24 | 0.3x | 94 | 47% |
| Buy and hold | -14.7% | -84.4% | 0.07 | -0.17 | 0.4x | 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 52-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 52-day middle average