Trend-Following Backtester · Guide · backtest 한국어
equity · US
Assured Guaranty Ltd. backtest
10 trend-following strategies were compared on the full daily history of Assured Guaranty Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -48.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.1%, drawdown -90.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -48.5%, Sharpe 0.41, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 7.5%, MDD -48.5%, exposure 58%).
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=44, slow=90 |
7.5% | -48.5% | 0.41 | 0.16 | 5.0x | 72 | 58% |
| Donchian 채널 돌파 entryN=51, exitN=79 |
6.3% | -60.5% | 0.36 | 0.10 | 3.9x | 42 | 61% |
| MACD fast=18, slow=52, signal=14 |
3.5% | -62.3% | 0.26 | 0.06 | 2.2x | 271 | 51% |
| EMA 크로스오버 fast=37, slow=101 |
3.3% | -63.2% | 0.25 | 0.05 | 2.1x | 59 | 61% |
| ROC 모멘텀 n=81, threshold=-0.04 |
2.4% | -56.6% | 0.22 | 0.04 | 1.7x | 241 | 68% |
| Supertrend period=18, mult=2.2 |
1.6% | -66.3% | 0.21 | 0.02 | 1.4x | 249 | 56% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=3 |
2.2% | -48.4% | 0.21 | 0.04 | 1.6x | 85 | 28% |
| Parabolic SAR step=0.025, maxStep=0.26 |
0.7% | -72.3% | 0.18 | 0.01 | 1.2x | 539 | 54% |
| ADX / DI 방향성 period=32, threshold=35 |
0.6% | -13.7% | 0.18 | 0.04 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
0.5% | -21.8% | 0.12 | 0.02 | 1.1x | 12 | 2% |
| Buy and hold | 7.1% | -90.4% | 0.38 | 0.08 | 4.6x | 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 44-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 44-day average falls below the 90-day average