Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Fire Group, Inc backtest
10 trend-following strategies were compared on the full daily history of United Fire Group, Inc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -71.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.6%, MDD -64.2%, Sharpe 0.40, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=117, exitN=187 |
7.6% | -64.2% | 0.40 | 0.12 | 29.8x | 31 | 69% |
| SMA 크로스오버 fast=41, slow=224 |
5.7% | -65.8% | 0.34 | 0.09 | 13.0x | 59 | 61% |
| EMA 크로스오버 fast=43, slow=217 |
5.4% | -75.4% | 0.33 | 0.07 | 11.7x | 63 | 64% |
| ROC 모멘텀 n=158, threshold=-0.12 |
3.0% | -83.9% | 0.25 | 0.04 | 3.9x | 275 | 79% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
1.6% | -42.3% | 0.22 | 0.04 | 2.1x | 84 | 7% |
| ADX / DI 방향성 period=39, threshold=29 |
1.4% | -62.6% | 0.19 | 0.02 | 1.9x | 10 | 15% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=17, mult=3.6 |
0.4% | -50.2% | 0.09 | 0.01 | 1.2x | 52 | 3% |
| Supertrend period=24, mult=4.9 |
-2.5% | -96.8% | 0.03 | -0.03 | 0.3x | 153 | 54% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.4% | -96.5% | -0.05 | -0.05 | 0.1x | 337 | 51% |
| MACD fast=24, slow=57, signal=15 |
-11.2% | -99.9% | -0.32 | -0.11 | 0.0x | 534 | 50% |
| Buy and hold | 7.3% | -71.3% | 0.37 | 0.10 | 26.3x | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 187 days