Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Hartford Insurance Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Hartford Insurance Group, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.9%, MDD -35.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.7%, drawdown -96.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -35.6%, Sharpe 0.55, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 61.0%p (CAGR 9.9%, MDD -35.6%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=62 |
9.9% | -35.6% | 0.55 | 0.28 | 18.3x | 57 | 66% |
| SMA 크로스오버 fast=35, slow=185 |
9.9% | -46.4% | 0.55 | 0.21 | 18.2x | 41 | 65% |
| Donchian 채널 돌파 entryN=85, exitN=77 |
7.5% | -48.6% | 0.46 | 0.15 | 9.2x | 41 | 61% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=24, mult=1.9 |
5.1% | -31.5% | 0.35 | 0.16 | 4.6x | 142 | 49% |
| Supertrend period=20, mult=5 |
4.9% | -53.5% | 0.32 | 0.09 | 4.3x | 93 | 59% |
| ROC 모멘텀 n=105, threshold=-0.03 |
3.8% | -63.2% | 0.28 | 0.06 | 3.1x | 281 | 69% |
| MACD fast=20, slow=52, signal=14 |
3.4% | -67.1% | 0.25 | 0.05 | 2.8x | 364 | 51% |
| 볼린저 밴드 돌파 n=30, k=2.3 |
2.6% | -36.0% | 0.24 | 0.07 | 2.2x | 152 | 26% |
| ADX / DI 방향성 period=25, threshold=27 |
1.1% | -40.8% | 0.16 | 0.03 | 1.4x | 44 | 8% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.6% | -82.8% | 0.07 | -0.02 | 0.6x | 286 | 57% |
| Buy and hold | 5.7% | -96.6% | 0.35 | 0.06 | 5.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 62-day EMA
- Sell — Sell when the 59-day EMA falls below the 62-day EMA