Trend-Following Backtester · Guide · backtest 한국어
equity · US
Heritage Insurance Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Heritage Insurance Holdings, Inc.. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.3%, MDD -45.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.1%, drawdown -95.1%).
Sharpe leader (same as main): MACD — CAGR 17.0%, MDD -79.9%, Sharpe 0.58, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 9.3%, MDD -45.3%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=25, signal=12 |
17.0% | -79.9% | 0.58 | 0.21 | 6.9x | 204 | 50% |
| EMA 크로스오버 fast=57, slow=211 |
12.5% | -59.0% | 0.50 | 0.21 | 4.3x | 15 | 42% |
| ROC 모멘텀 n=135, threshold=0.24 |
9.3% | -45.3% | 0.44 | 0.20 | 3.0x | 59 | 28% |
| SMA 크로스오버 fast=9, slow=75 |
8.9% | -71.0% | 0.41 | 0.13 | 2.9x | 61 | 45% |
| Donchian 채널 돌파 entryN=39, exitN=47 |
5.7% | -84.0% | 0.34 | 0.07 | 2.0x | 33 | 54% |
| Supertrend period=9, mult=3.2 |
5.0% | -85.5% | 0.32 | 0.06 | 1.8x | 71 | 52% |
| Parabolic SAR step=0.01, maxStep=0.14 |
4.2% | -81.3% | 0.30 | 0.05 | 1.7x | 156 | 48% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
3.8% | -40.5% | 0.28 | 0.09 | 1.6x | 14 | 12% |
| ADX / DI 방향성 period=8, threshold=39 |
3.6% | -51.8% | 0.27 | 0.07 | 1.5x | 95 | 15% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=31, mult=0.8 |
1.0% | -80.7% | 0.21 | 0.01 | 1.1x | 107 | 42% |
| Buy and hold | 9.1% | -95.1% | 0.43 | 0.10 | 2.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/25) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line