Trend-Following Backtester · Guide · backtest 한국어
equity · US
Assurant, Inc. backtest
10 trend-following strategies were compared on the full daily history of Assurant, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.8%, MDD -29.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -81.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.1%, MDD -49.9%, Sharpe 0.63, 85% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 9.8%, MDD -29.3%, exposure 68%).
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=21, exitN=75 |
13.1% | -49.9% | 0.63 | 0.26 | 15.9x | 37 | 85% |
| EMA 크로스오버 fast=19, slow=95 |
9.8% | -29.3% | 0.60 | 0.33 | 8.2x | 57 | 68% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
5.3% | -17.7% | 0.55 | 0.30 | 3.2x | 45 | 25% |
| SMA 크로스오버 fast=7, slow=114 |
8.5% | -30.2% | 0.52 | 0.28 | 6.2x | 91 | 65% |
| ROC 모멘텀 n=85, threshold=-0.04 |
8.9% | -39.4% | 0.51 | 0.23 | 6.8x | 155 | 76% |
| Supertrend period=27, mult=4.7 |
8.3% | -59.1% | 0.49 | 0.14 | 6.0x | 65 | 66% |
| ADX / DI 방향성 period=35, threshold=19 |
2.3% | -23.3% | 0.31 | 0.10 | 1.7x | 53 | 20% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=2.7 |
2.5% | -34.3% | 0.25 | 0.07 | 1.8x | 97 | 43% |
| MACD fast=17, slow=38, signal=17 |
1.8% | -47.9% | 0.19 | 0.04 | 1.5x | 270 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.2% | -60.7% | 0.04 | -0.02 | 0.8x | 209 | 60% |
| Buy and hold | 11.4% | -81.8% | 0.50 | 0.14 | 11.2x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 75 days