Trend-Following Backtester · Guide · backtest 한국어
equity · US
Porch Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Porch Group, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 38.4%, MDD -40.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.4%, drawdown -98.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 60.7%, MDD -62.1%, Sharpe 0.98, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 52.3%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 38.4%, MDD -40.6%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.12 |
60.7% | -62.1% | 0.98 | 0.98 | 23.2x | 75 | 45% |
| SMA 크로스오버 fast=9, slow=82 |
58.2% | -59.9% | 0.94 | 0.97 | 20.9x | 29 | 49% |
| ADX / DI 방향성 period=11, threshold=11 |
57.1% | -61.2% | 0.94 | 0.93 | 20.0x | 125 | 52% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=2.2 |
43.0% | -57.4% | 0.89 | 0.75 | 10.7x | 29 | 30% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
38.4% | -40.6% | 0.89 | 0.95 | 8.6x | 12 | 22% |
| EMA 크로스오버 fast=13, slow=45 |
51.1% | -78.9% | 0.88 | 0.65 | 15.5x | 35 | 49% |
| Donchian 채널 돌파 entryN=46, exitN=81 |
46.9% | -71.7% | 0.84 | 0.65 | 12.8x | 11 | 53% |
| Supertrend period=13, mult=2.2 |
38.2% | -70.2% | 0.77 | 0.54 | 8.5x | 71 | 46% |
| ROC 모멘텀 n=113, threshold=0 |
38.2% | -59.5% | 0.76 | 0.64 | 8.5x | 35 | 50% |
| MACD fast=12, slow=84, signal=18 |
32.6% | -87.7% | 0.72 | 0.37 | 6.5x | 67 | 55% |
| Buy and hold | 8.4% | -98.0% | 0.57 | 0.09 | 1.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots