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 39.0%, MDD -40.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.9%, drawdown -98.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 57.7%, MDD -62.1%, Sharpe 0.95, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 51.9%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 39.0%, 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 |
57.7% | -62.1% | 0.95 | 0.93 | 19.8x | 75 | 44% |
| SMA 크로스오버 fast=9, slow=82 |
55.2% | -59.9% | 0.91 | 0.92 | 17.8x | 29 | 48% |
| ADX / DI 방향성 period=11, threshold=11 |
54.2% | -61.2% | 0.91 | 0.89 | 17.0x | 125 | 51% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
39.0% | -40.6% | 0.89 | 0.96 | 8.6x | 12 | 22% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=2.2 |
42.6% | -57.4% | 0.88 | 0.74 | 10.2x | 28 | 29% |
| EMA 크로스오버 fast=13, slow=45 |
48.2% | -78.9% | 0.85 | 0.61 | 13.1x | 35 | 48% |
| Donchian 채널 돌파 entryN=46, exitN=81 |
44.0% | -71.7% | 0.81 | 0.61 | 10.9x | 11 | 52% |
| Supertrend period=13, mult=2.2 |
35.4% | -70.2% | 0.74 | 0.50 | 7.3x | 71 | 45% |
| ROC 모멘텀 n=113, threshold=0 |
35.3% | -59.5% | 0.73 | 0.59 | 7.3x | 35 | 50% |
| MACD fast=12, slow=84, signal=18 |
32.6% | -87.7% | 0.72 | 0.37 | 6.3x | 66 | 55% |
| Buy and hold | 5.9% | -98.0% | 0.55 | 0.06 | 1.5x | 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