Trend-Following Backtester · Guide · backtest 한국어
equity · US
CNA Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of CNA Financial Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.6%, MDD -49.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -87.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -67.3%, Sharpe 0.28, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 20.5%p (CAGR 3.6%, MDD -49.7%, exposure 47%).
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=36, slow=185 |
3.9% | -67.3% | 0.28 | 0.06 | 7.8x | 85 | 55% |
| Donchian 채널 돌파 entryN=68, exitN=52 |
3.6% | -49.7% | 0.27 | 0.07 | 6.7x | 107 | 47% |
| EMA 크로스오버 fast=59, slow=64 |
2.4% | -72.4% | 0.22 | 0.03 | 3.6x | 129 | 55% |
| Supertrend period=26, mult=4.8 |
2.3% | -64.2% | 0.21 | 0.04 | 3.3x | 193 | 52% |
| ADX / DI 방향성 period=36, threshold=37 |
0.4% | -17.1% | 0.16 | 0.02 | 1.2x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=2.5 |
1.2% | -55.9% | 0.15 | 0.02 | 1.9x | 233 | 36% |
| 볼린저 밴드 돌파 n=44, k=1.8 |
1.2% | -53.5% | 0.15 | 0.02 | 1.9x | 305 | 38% |
| ROC 모멘텀 n=146, threshold=-0.04 |
-1.7% | -83.1% | 0.04 | -0.02 | 0.4x | 483 | 65% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.1% | -90.6% | -0.02 | -0.03 | 0.2x | 709 | 52% |
| MACD fast=12, slow=34, signal=13 |
-3.8% | -94.5% | -0.04 | -0.04 | 0.1x | 851 | 50% |
| Buy and hold | 4.3% | -87.8% | 0.30 | 0.05 | 9.5x | 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 36-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 36-day average falls below the 185-day average