Trend-Following Backtester · Guide · backtest 한국어
equity · US
Insperity, Inc. backtest
10 trend-following strategies were compared on the full daily history of Insperity, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.2%, MDD -26.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.8%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.8%, MDD -69.5%, Sharpe 0.65, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 10.2%, MDD -26.9%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=120 |
17.8% | -69.5% | 0.65 | 0.26 | 125.0x | 65 | 56% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
10.2% | -26.9% | 0.63 | 0.38 | 17.5x | 24 | 13% |
| ROC 모멘텀 n=138, threshold=-0.02 |
10.5% | -82.7% | 0.46 | 0.13 | 19.2x | 173 | 57% |
| EMA 크로스오버 fast=58, slow=71 |
10.0% | -80.6% | 0.45 | 0.12 | 16.8x | 63 | 55% |
| ADX / DI 방향성 period=33, threshold=21 |
6.9% | -39.4% | 0.45 | 0.18 | 7.2x | 71 | 17% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=3.8 |
3.7% | -25.4% | 0.43 | 0.14 | 2.9x | 38 | 6% |
| Donchian 채널 돌파 entryN=96, exitN=40 |
7.9% | -74.6% | 0.42 | 0.11 | 9.5x | 59 | 34% |
| Supertrend period=26, mult=5 |
7.5% | -73.7% | 0.38 | 0.10 | 8.3x | 103 | 57% |
| MACD fast=18, slow=53, signal=17 |
4.6% | -91.2% | 0.32 | 0.05 | 3.8x | 315 | 51% |
| Parabolic SAR step=0.03, maxStep=0.32 |
-3.4% | -86.9% | 0.09 | -0.04 | 0.4x | 793 | 53% |
| Buy and hold | 7.8% | -95.4% | 0.41 | 0.08 | 9.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 59-day average falls below the 120-day average