Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cincinnati Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Cincinnati Financial Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -63.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -54.1%, Sharpe 0.56, 64% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=198 |
8.3% | -54.1% | 0.56 | 0.15 | 41.2x | 75 | 64% |
| Donchian 채널 돌파 entryN=73, exitN=90 |
8.3% | -35.3% | 0.55 | 0.24 | 40.4x | 63 | 64% |
| EMA 크로스오버 fast=59, slow=153 |
8.1% | -56.7% | 0.54 | 0.14 | 37.7x | 59 | 68% |
| ADX / DI 방향성 period=32, threshold=27 |
3.2% | -20.4% | 0.46 | 0.16 | 4.3x | 56 | 14% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=19, mult=3.4 |
4.8% | -43.2% | 0.45 | 0.11 | 8.9x | 127 | 37% |
| Supertrend period=11, mult=4.5 |
5.4% | -60.3% | 0.40 | 0.09 | 11.6x | 180 | 60% |
| ROC 모멘텀 n=135, threshold=-0.03 |
3.7% | -84.2% | 0.29 | 0.04 | 5.4x | 379 | 72% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
2.9% | -70.9% | 0.28 | 0.04 | 3.8x | 167 | 38% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.7% | -85.1% | 0.13 | 0.01 | 1.4x | 410 | 57% |
| MACD fast=15, slow=25, signal=17 |
-1.1% | -90.6% | 0.03 | -0.01 | 0.6x | 666 | 50% |
| Buy and hold | 11.1% | -63.1% | 0.53 | 0.18 | 133.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 45-day average falls below the 198-day average