Trend-Following Backtester · Guide · backtest 한국어
equity · IN
SBI Life Insurance Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of SBI Life Insurance Co. Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.1%, MDD -30.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -46.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -30.8%, Sharpe 0.60, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 11.1%, MDD -30.8%, exposure 80%).
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=8, exitN=36 |
11.1% | -30.8% | 0.60 | 0.36 | 2.5x | 31 | 80% |
| EMA 크로스오버 fast=35, slow=83 |
8.9% | -21.1% | 0.56 | 0.42 | 2.1x | 20 | 62% |
| Supertrend period=20, mult=4.7 |
8.9% | -24.9% | 0.54 | 0.36 | 2.1x | 17 | 67% |
| SMA 크로스오버 fast=20, slow=82 |
8.2% | -27.8% | 0.52 | 0.30 | 2.0x | 32 | 59% |
| ROC 모멘텀 n=95, threshold=0.01 |
5.8% | -29.8% | 0.41 | 0.19 | 1.7x | 72 | 59% |
| MACD fast=17, slow=52, signal=16 |
3.4% | -30.9% | 0.28 | 0.11 | 1.3x | 84 | 48% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
2.4% | -23.7% | 0.24 | 0.10 | 1.2x | 50 | 40% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=1.6 |
1.5% | -24.3% | 0.17 | 0.06 | 1.1x | 52 | 45% |
| ADX / DI 방향성 period=24, threshold=16 |
0.1% | -31.3% | 0.08 | 0.00 | 1.0x | 68 | 33% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.2% | -34.8% | 0.03 | -0.04 | 0.9x | 78 | 61% |
| Buy and hold | 10.6% | -46.8% | 0.52 | 0.23 | 2.4x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 36 days