Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allstate Corporation (The) backtest
10 trend-following strategies were compared on the full daily history of Allstate Corporation (The). 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -40.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.0%, drawdown -78.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -40.6%, Sharpe 0.62, 59% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.2%, MDD -48.0%, exposure 65%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 9.6%, MDD -40.6%, exposure 59%).
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=96, exitN=70 |
9.6% | -40.6% | 0.62 | 0.24 | 20.9x | 39 | 59% |
| SMA 크로스오버 fast=57, slow=192 |
10.2% | -48.0% | 0.61 | 0.21 | 25.6x | 29 | 65% |
| EMA 크로스오버 fast=48, slow=134 |
8.0% | -49.6% | 0.51 | 0.16 | 13.0x | 43 | 65% |
| Keltner 채널 돌파 emaPeriod=133, atrPeriod=11, mult=2.6 |
5.6% | -41.6% | 0.42 | 0.13 | 6.0x | 87 | 52% |
| ROC 모멘텀 n=150, threshold=0.01 |
5.4% | -68.0% | 0.38 | 0.08 | 5.8x | 223 | 62% |
| Supertrend period=8, mult=5 |
4.6% | -57.8% | 0.34 | 0.08 | 4.5x | 93 | 59% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
1.5% | -17.8% | 0.29 | 0.08 | 1.6x | 27 | 10% |
| ADX / DI 방향성 period=30, threshold=24 |
1.1% | -20.2% | 0.19 | 0.05 | 1.4x | 48 | 10% |
| MACD fast=18, slow=53, signal=17 |
-3.7% | -83.4% | -0.08 | -0.04 | 0.3x | 412 | 51% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-3.6% | -74.5% | -0.08 | -0.05 | 0.3x | 596 | 55% |
| Buy and hold | 9.0% | -78.6% | 0.44 | 0.11 | 17.5x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 70 days