Trend-Following Backtester · Guide · backtest 한국어
equity · US
Principal Financial Group Inc backtest
10 trend-following strategies were compared on the full daily history of Principal Financial Group Inc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.2%, MDD -40.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -40.5%, Sharpe 0.39, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 51.2%p (CAGR 6.2%, MDD -40.5%, exposure 65%).
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=225 |
6.2% | -40.5% | 0.39 | 0.15 | 4.5x | 33 | 65% |
| EMA 크로스오버 fast=72, slow=166 |
5.2% | -40.9% | 0.34 | 0.13 | 3.5x | 29 | 69% |
| Supertrend period=17, mult=4.7 |
3.8% | -50.8% | 0.28 | 0.08 | 2.5x | 79 | 59% |
| ROC 모멘텀 n=110, threshold=-0.07 |
3.4% | -55.4% | 0.26 | 0.06 | 2.3x | 179 | 77% |
| Donchian 채널 돌파 entryN=40, exitN=104 |
3.0% | -64.2% | 0.25 | 0.05 | 2.1x | 43 | 79% |
| ADX / DI 방향성 period=36, threshold=13 |
1.5% | -40.3% | 0.17 | 0.04 | 1.5x | 154 | 31% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=20, mult=1.9 |
1.2% | -53.4% | 0.16 | 0.02 | 1.3x | 123 | 45% |
| 볼린저 밴드 돌파 n=18, k=2.8 |
1.1% | -29.8% | 0.15 | 0.04 | 1.3x | 52 | 8% |
| MACD fast=16, slow=23, signal=12 |
-1.2% | -75.4% | 0.10 | -0.02 | 0.7x | 410 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.6% | -70.1% | 0.03 | -0.04 | 0.5x | 233 | 57% |
| Buy and hold | 7.0% | -91.7% | 0.37 | 0.08 | 5.4x | 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 225-day average
- Sell — Sell (to cash) when the 45-day average falls below the 225-day average