Trend-Following Backtester · Guide · backtest 한국어
equity · US
Somnigroup International Inc. backtest
10 trend-following strategies were compared on the full daily history of Somnigroup International Inc.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.5%, MDD -43.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.3%, drawdown -89.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.9%, MDD -49.7%, Sharpe 0.68, 63% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.2%, MDD -51.8%, exposure 60%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 14.5%, MDD -43.4%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=99, threshold=0.01 |
17.9% | -49.7% | 0.68 | 0.36 | 41.2x | 158 | 63% |
| SMA 크로스오버 fast=19, slow=29 |
18.2% | -51.8% | 0.67 | 0.35 | 44.1x | 212 | 60% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=10, mult=2.6 |
14.5% | -43.4% | 0.66 | 0.33 | 21.3x | 76 | 46% |
| Supertrend period=8, mult=3.7 |
16.8% | -44.2% | 0.64 | 0.38 | 33.7x | 102 | 59% |
| Donchian 채널 돌파 entryN=51, exitN=50 |
16.7% | -61.7% | 0.63 | 0.27 | 32.6x | 46 | 61% |
| MACD fast=44, slow=73, signal=31 |
14.4% | -53.6% | 0.57 | 0.27 | 21.1x | 127 | 55% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
12.2% | -58.5% | 0.57 | 0.21 | 13.5x | 106 | 46% |
| EMA 크로스오버 fast=20, slow=62 |
13.2% | -64.8% | 0.54 | 0.20 | 16.5x | 88 | 61% |
| ADX / DI 방향성 period=22, threshold=16 |
8.9% | -32.7% | 0.47 | 0.27 | 6.9x | 194 | 40% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.4% | -85.9% | 0.19 | 0.00 | 1.1x | 310 | 57% |
| Buy and hold | 13.3% | -89.5% | 0.51 | 0.15 | 16.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 99-day return is greater than 1%
- Sell — Sell when the 99-day return drops to 1% or below