Trend-Following Backtester · Guide · backtest 한국어
equity · US
Insulet Corporation backtest
10 trend-following strategies were compared on the full daily history of Insulet Corporation. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.9%, MDD -41.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.2%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.2%, MDD -69.8%, Sharpe 0.66, 90% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 14.9%, MDD -41.3%, exposure 61%).
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=3, exitN=51 |
21.2% | -69.8% | 0.66 | 0.30 | 40.6x | 91 | 90% |
| Supertrend period=28, mult=2.9 |
14.9% | -41.3% | 0.59 | 0.36 | 14.5x | 120 | 61% |
| SMA 크로스오버 fast=53, slow=193 |
14.4% | -70.0% | 0.58 | 0.21 | 13.5x | 24 | 65% |
| EMA 크로스오버 fast=39, slow=214 |
12.6% | -72.8% | 0.53 | 0.17 | 9.9x | 24 | 64% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=19, mult=2.4 |
4.7% | -21.6% | 0.45 | 0.22 | 2.4x | 44 | 10% |
| MACD fast=8, slow=35, signal=23 |
7.6% | -54.4% | 0.38 | 0.14 | 4.1x | 278 | 52% |
| ROC 모멘텀 n=117, threshold=0.06 |
6.9% | -46.5% | 0.37 | 0.15 | 3.6x | 186 | 55% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
2.5% | -15.7% | 0.34 | 0.16 | 1.6x | 22 | 6% |
| ADX / DI 방향성 period=34, threshold=16 |
4.2% | -51.8% | 0.30 | 0.08 | 2.2x | 80 | 26% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.3% | -63.5% | 0.20 | 0.02 | 1.3x | 348 | 55% |
| Buy and hold | 12.2% | -90.3% | 0.48 | 0.14 | 9.3x | 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 3 days
- Sell — Sell when price breaks below the lowest low of the last 51 days