Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of American Financial Group, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -64.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -64.1%, Sharpe 0.35, 92% 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=6, exitN=91 |
6.2% | -64.1% | 0.35 | 0.10 | 16.0x | 127 | 92% |
| EMA 크로스오버 fast=59, slow=87 |
4.5% | -53.1% | 0.31 | 0.08 | 7.7x | 83 | 64% |
| ADX / DI 방향성 period=59, threshold=15 |
2.6% | -37.5% | 0.28 | 0.07 | 3.3x | 48 | 16% |
| SMA 크로스오버 fast=28, slow=137 |
3.5% | -45.2% | 0.27 | 0.08 | 4.9x | 103 | 62% |
| Supertrend period=15, mult=5 |
3.0% | -52.8% | 0.24 | 0.06 | 4.0x | 139 | 60% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
0.6% | -50.3% | 0.12 | 0.01 | 1.3x | 40 | 10% |
| ROC 모멘텀 n=99, threshold=-0.04 |
-0.2% | -83.6% | 0.10 | -0.00 | 0.9x | 405 | 72% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=9, mult=3.7 |
-0.3% | -38.7% | -0.02 | -0.01 | 0.9x | 38 | 4% |
| MACD fast=13, slow=46, signal=19 |
-4.1% | -92.9% | -0.11 | -0.04 | 0.1x | 589 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-5.4% | -96.4% | -0.16 | -0.06 | 0.1x | 813 | 55% |
| Buy and hold | 7.0% | -64.3% | 0.37 | 0.11 | 23.2x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 91 days