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.
Results by strategy
0 of 10 beat buy and hold (CAGR 34.7%, drawdown -47.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.5%, MDD -38.3%, Sharpe 0.95, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=65, exitN=160 |
32.5% | -38.3% | 0.95 | 0.85 | 17.1x | 3 | 90% |
| Supertrend period=19, mult=3 |
20.2% | -51.9% | 0.80 | 0.39 | 6.4x | 59 | 60% |
| SMA 크로스오버 fast=68, slow=281 |
22.4% | -42.4% | 0.77 | 0.53 | 7.7x | 6 | 72% |
| EMA 크로스오버 fast=56, slow=200 |
22.3% | -46.3% | 0.76 | 0.48 | 7.6x | 8 | 76% |
| ROC 모멘텀 n=146, threshold=-0.04 |
20.3% | -49.2% | 0.72 | 0.41 | 6.5x | 55 | 76% |
| Parabolic SAR step=0.005, maxStep=0.3 |
15.3% | -49.1% | 0.65 | 0.31 | 4.2x | 91 | 58% |
| MACD fast=17, slow=22, signal=13 |
11.0% | -60.2% | 0.53 | 0.18 | 2.9x | 160 | 54% |
| ADX / DI 방향성 period=47, threshold=10 |
10.1% | -49.8% | 0.51 | 0.20 | 2.6x | 55 | 50% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
8.9% | -45.7% | 0.47 | 0.19 | 2.4x | 75 | 47% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=0.8 |
7.5% | -59.8% | 0.40 | 0.13 | 2.1x | 101 | 59% |
| Buy and hold | 34.7% | -47.0% | 0.97 | 0.74 | 20.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 65 days
- Sell — Sell when price breaks below the lowest low of the last 160 days