Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Cigna Group backtest
10 trend-following strategies were compared on the full daily history of The Cigna Group. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -52.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -84.4%).
Sharpe leader (same as main): Supertrend — CAGR 8.1%, MDD -55.4%, Sharpe 0.49, 57% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.2%, MDD -52.5%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 29.0%p (CAGR 8.2%, MDD -52.5%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=4.6 |
8.1% | -55.4% | 0.49 | 0.15 | 31.7x | 151 | 57% |
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=16, mult=2.4 |
7.2% | -40.3% | 0.48 | 0.18 | 21.4x | 154 | 47% |
| SMA 크로스오버 fast=22, slow=57 |
8.2% | -52.5% | 0.47 | 0.16 | 33.4x | 189 | 60% |
| Donchian 채널 돌파 entryN=13, exitN=42 |
7.8% | -56.1% | 0.43 | 0.14 | 28.0x | 181 | 78% |
| Parabolic SAR step=0.01, maxStep=0.02 |
6.9% | -48.4% | 0.42 | 0.14 | 19.6x | 231 | 60% |
| 볼린저 밴드 돌파 n=68, k=1.9 |
5.8% | -60.0% | 0.42 | 0.10 | 11.9x | 145 | 43% |
| EMA 크로스오버 fast=100, slow=128 |
5.8% | -61.8% | 0.36 | 0.09 | 12.0x | 55 | 66% |
| ROC 모멘텀 n=45, threshold=-0.03 |
4.3% | -61.0% | 0.30 | 0.07 | 6.5x | 529 | 70% |
| ADX / DI 방향성 period=24, threshold=7 |
1.8% | -76.7% | 0.19 | 0.02 | 2.2x | 615 | 58% |
| MACD fast=18, slow=53, signal=28 |
0.3% | -81.7% | 0.12 | 0.00 | 1.1x | 435 | 52% |
| Buy and hold | 9.1% | -84.4% | 0.44 | 0.11 | 47.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)