Trend-Following Backtester · Guide · backtest 한국어
equity · US
Employers Holdings Inc backtest
10 trend-following strategies were compared on the full daily history of Employers Holdings Inc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.6%, MDD -47.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -65.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.9%, MDD -4.4%, Sharpe 0.40, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.6%, MDD -47.1%, exposure 74%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 60.5%p (CAGR 3.6%, MDD -47.1%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=17, threshold=0.27 |
0.9% | -4.4% | 0.40 | 0.20 | 1.2x | 14 | 0% |
| SMA 크로스오버 fast=47, slow=212 |
3.5% | -45.5% | 0.27 | 0.08 | 1.9x | 27 | 59% |
| Donchian 채널 돌파 entryN=38, exitN=92 |
3.6% | -47.1% | 0.27 | 0.08 | 2.0x | 31 | 74% |
| EMA 크로스오버 fast=104, slow=140 |
0.8% | -53.0% | 0.14 | 0.02 | 1.2x | 27 | 60% |
| Supertrend period=9, mult=3.8 |
0.7% | -47.6% | 0.14 | 0.02 | 1.2x | 87 | 54% |
| ADX / DI 방향성 period=45, threshold=12 |
0.7% | -47.4% | 0.12 | 0.02 | 1.2x | 84 | 34% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
-0.3% | -46.3% | 0.05 | -0.01 | 0.9x | 48 | 26% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=1.6 |
-0.9% | -45.3% | -0.02 | -0.02 | 0.8x | 120 | 15% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.6% | -72.1% | -0.10 | -0.06 | 0.4x | 260 | 53% |
| MACD fast=12, slow=19, signal=15 |
-4.6% | -77.1% | -0.11 | -0.06 | 0.4x | 341 | 50% |
| Buy and hold | 4.7% | -65.0% | 0.30 | 0.07 | 2.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 17-day return is greater than 27%
- Sell — Sell when the 17-day return drops to 27% or below