Trend-Following Backtester · Guide · backtest 한국어
equity · US
Erie Indemnity Company backtest
10 trend-following strategies were compared on the full daily history of Erie Indemnity Company. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -62.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -31.2%, Sharpe 0.48, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -55.2%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=80, exitN=10 |
6.0% | -31.2% | 0.48 | 0.19 | 6.0x | 104 | 26% |
| SMA 크로스오버 fast=18, slow=116 |
7.1% | -55.2% | 0.44 | 0.13 | 8.2x | 96 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=3.7 |
4.4% | -40.9% | 0.42 | 0.11 | 3.7x | 54 | 19% |
| EMA 크로스오버 fast=35, slow=98 |
6.5% | -64.4% | 0.41 | 0.10 | 7.0x | 74 | 58% |
| 볼린저 밴드 돌파 n=26, k=2.5 |
4.2% | -49.6% | 0.36 | 0.08 | 3.5x | 124 | 21% |
| Supertrend period=12, mult=3.7 |
5.2% | -66.5% | 0.35 | 0.08 | 4.7x | 114 | 49% |
| ADX / DI 방향성 period=14, threshold=39 |
2.4% | -28.0% | 0.31 | 0.09 | 2.1x | 64 | 9% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.9% | -55.4% | 0.28 | 0.07 | 3.3x | 264 | 52% |
| MACD fast=19, slow=36, signal=22 |
2.0% | -54.2% | 0.20 | 0.04 | 1.8x | 294 | 52% |
| ROC 모멘텀 n=114, threshold=0.05 |
0.8% | -79.8% | 0.14 | 0.01 | 1.3x | 320 | 46% |
| Buy and hold | 9.2% | -62.0% | 0.44 | 0.15 | 14.9x | 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 80 days
- Sell — Sell when price breaks below the lowest low of the last 10 days