Trend-Following Backtester · Guide · backtest 한국어
equity · US
Verisk Analytics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Verisk Analytics, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.0%, MDD -29.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -51.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.4%, MDD -40.4%, Sharpe 0.64, 88% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 10.7%p (CAGR 11.0%, MDD -29.4%, exposure 81%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=111, threshold=-0.09 |
11.4% | -40.4% | 0.64 | 0.28 | 6.1x | 53 | 88% |
| EMA 크로스오버 fast=57, slow=288 |
11.0% | -29.4% | 0.63 | 0.38 | 5.8x | 10 | 81% |
| SMA 크로스오버 fast=57, slow=212 |
9.3% | -30.0% | 0.57 | 0.31 | 4.5x | 20 | 72% |
| Donchian 채널 돌파 entryN=20, exitN=73 |
6.8% | -38.2% | 0.44 | 0.18 | 3.0x | 37 | 83% |
| Supertrend period=19, mult=3.3 |
3.8% | -39.8% | 0.31 | 0.10 | 1.9x | 93 | 63% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=4 |
1.9% | -14.0% | 0.29 | 0.14 | 1.4x | 28 | 19% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
1.3% | -18.6% | 0.25 | 0.07 | 1.2x | 14 | 10% |
| ADX / DI 방향성 period=21, threshold=29 |
0.3% | -13.9% | 0.09 | 0.02 | 1.1x | 28 | 9% |
| MACD fast=19, slow=58, signal=15 |
-0.8% | -48.9% | 0.02 | -0.02 | 0.9x | 183 | 50% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-4.1% | -52.0% | -0.19 | -0.08 | 0.5x | 317 | 57% |
| Buy and hold | 12.4% | -51.2% | 0.63 | 0.24 | 7.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 111-day return is greater than -9%
- Sell — Sell when the 111-day return drops to -9% or below