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. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.3%, MDD -41.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.9%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.4%, MDD -69.8%, Sharpe 0.68, 90% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 16.3%, 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 |
22.4% | -69.8% | 0.68 | 0.32 | 48.9x | 89 | 90% |
| Supertrend period=28, mult=2.9 |
16.3% | -41.3% | 0.63 | 0.39 | 18.1x | 119 | 61% |
| SMA 크로스오버 fast=53, slow=193 |
14.5% | -70.0% | 0.58 | 0.21 | 13.5x | 24 | 65% |
| EMA 크로스오버 fast=39, slow=214 |
12.7% | -72.8% | 0.54 | 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 |
8.9% | -52.2% | 0.42 | 0.17 | 5.1x | 277 | 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 |
4.4% | -51.8% | 0.31 | 0.08 | 2.3x | 78 | 26% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.5% | -63.5% | 0.24 | 0.04 | 1.6x | 347 | 55% |
| Buy and hold | 12.9% | -90.3% | 0.49 | 0.14 | 10.3x | 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