Trend-Following Backtester · Guide · backtest 한국어

equity · US

Kinsale Capital Group, Inc. backtest

10 trend-following strategies were compared on the full daily history of Kinsale Capital Group, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2016-07-28 ~ 2026-07-31daily bars 2,516 (10.0 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 34.4%, drawdown -47.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.2%, MDD -38.3%, Sharpe 0.94, 90% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=65, exitN=160
32.2%-38.3%0.940.8416.3x390%
Supertrend
period=19, mult=3
19.8%-51.9%0.790.386.1x5960%
SMA 크로스오버
fast=68, slow=281
22.6%-42.4%0.780.537.7x673%
EMA 크로스오버
fast=56, slow=200
22.5%-46.3%0.770.497.6x876%
ROC 모멘텀
n=146, threshold=-0.04
21.3%-49.0%0.740.436.9x5277%
Parabolic SAR
step=0.005, maxStep=0.3
14.9%-49.1%0.640.304.0x9158%
MACD
fast=17, slow=22, signal=13
11.2%-60.2%0.530.192.9x15754%
ADX / DI 방향성
period=47, threshold=10
10.4%-49.7%0.520.212.7x5349%
볼린저 밴드 돌파
n=40, k=1.7
8.4%-45.7%0.460.182.2x7546%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=21, mult=0.8
7.1%-59.8%0.390.122.0x10159%
Buy and hold34.4%-47.0%0.970.7319.3x1100%
1x 10x 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -12% -24% -35% -47% 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -38.3% (2020-12-17 → 2021-05-12), recovered after 596 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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