Trend-Following Backtester · Guide · backtest 한국어
equity · US
Old Republic International Corporation backtest
10 trend-following strategies were compared on the full daily history of Old Republic International Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -69.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -48.9%, Sharpe 0.42, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.0%, MDD -78.0%, exposure 92%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=287 |
6.5% | -48.9% | 0.42 | 0.13 | 18.3x | 43 | 70% |
| Donchian 채널 돌파 entryN=5, exitN=80 |
7.0% | -78.0% | 0.39 | 0.09 | 23.5x | 149 | 92% |
| SMA 크로스오버 fast=11, slow=215 |
4.4% | -66.2% | 0.32 | 0.07 | 7.4x | 113 | 64% |
| Supertrend period=11, mult=4.7 |
3.3% | -80.3% | 0.26 | 0.04 | 4.6x | 183 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=3.2 |
2.1% | -54.5% | 0.22 | 0.04 | 2.6x | 159 | 32% |
| 볼린저 밴드 돌파 n=44, k=3 |
1.6% | -42.3% | 0.19 | 0.04 | 2.1x | 80 | 14% |
| ROC 모멘텀 n=100, threshold=-0.03 |
1.2% | -74.3% | 0.16 | 0.02 | 1.7x | 439 | 68% |
| ADX / DI 방향성 period=14, threshold=24 |
1.1% | -66.6% | 0.15 | 0.02 | 1.7x | 412 | 28% |
| MACD fast=18, slow=49, signal=18 |
-1.0% | -87.2% | 0.05 | -0.01 | 0.6x | 517 | 51% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-1.1% | -92.3% | 0.05 | -0.01 | 0.6x | 937 | 54% |
| Buy and hold | 8.9% | -69.5% | 0.44 | 0.13 | 52.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 287-day EMA
- Sell — Sell when the 58-day EMA falls below the 287-day EMA