Trend-Following Backtester · Guide · backtest 한국어
equity · US
Safety Insurance Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Safety Insurance 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 7.3%, MDD -35.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -49.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -35.3%, Sharpe 0.46, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 13.9%p (CAGR 7.3%, MDD -35.3%, exposure 59%).
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=38, slow=178 |
7.3% | -35.3% | 0.46 | 0.21 | 5.3x | 35 | 59% |
| EMA 크로스오버 fast=48, slow=114 |
5.6% | -43.6% | 0.37 | 0.13 | 3.6x | 39 | 60% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
1.8% | -12.5% | 0.33 | 0.15 | 1.5x | 15 | 8% |
| Donchian 채널 돌파 entryN=73, exitN=43 |
4.2% | -44.8% | 0.30 | 0.09 | 2.6x | 47 | 54% |
| ADX / DI 방향성 period=39, threshold=30 |
0.2% | -2.8% | 0.21 | 0.07 | 1.1x | 4 | 0% |
| ROC 모멘텀 n=149, threshold=-0.04 |
-0.2% | -72.6% | 0.10 | -0.00 | 1.0x | 191 | 72% |
| Supertrend period=28, mult=5 |
-0.9% | -78.6% | 0.06 | -0.01 | 0.8x | 65 | 60% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=4 |
-0.9% | -37.1% | -0.15 | -0.02 | 0.8x | 21 | 4% |
| MACD fast=12, slow=30, signal=15 |
-4.6% | -74.5% | -0.16 | -0.06 | 0.3x | 363 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-5.2% | -79.5% | -0.19 | -0.06 | 0.3x | 221 | 53% |
| Buy and hold | 9.2% | -49.2% | 0.45 | 0.19 | 8.0x | 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 38-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 38-day average falls below the 178-day average