Trend-Following Backtester · Guide · backtest 한국어
equity · US
Reinsurance Group of America, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Reinsurance Group of America, Incorporated. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -35.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -66.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -35.4%, Sharpe 0.57, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 9.5%, MDD -35.4%, exposure 68%).
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=41, slow=130 |
9.5% | -35.4% | 0.57 | 0.27 | 5.0x | 29 | 68% |
| Donchian 채널 돌파 entryN=38, exitN=69 |
7.8% | -38.0% | 0.47 | 0.20 | 3.8x | 33 | 74% |
| ROC 모멘텀 n=143, threshold=-0.1 |
7.3% | -39.4% | 0.43 | 0.19 | 3.5x | 83 | 85% |
| EMA 크로스오버 fast=34, slow=204 |
6.2% | -38.4% | 0.41 | 0.16 | 2.9x | 27 | 71% |
| ADX / DI 방향성 period=51, threshold=14 |
1.0% | -18.7% | 0.17 | 0.05 | 1.2x | 30 | 16% |
| Supertrend period=25, mult=3.3 |
0.7% | -60.9% | 0.15 | 0.01 | 1.1x | 111 | 67% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=19, mult=3.6 |
0.3% | -30.4% | 0.08 | 0.01 | 1.1x | 37 | 21% |
| MACD fast=6, slow=54, signal=18 |
-1.3% | -54.3% | 0.04 | -0.02 | 0.8x | 313 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-2.0% | -68.1% | 0.02 | -0.03 | 0.7x | 338 | 56% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
-0.4% | -15.7% | -0.07 | -0.03 | 0.9x | 8 | 2% |
| Buy and hold | 9.3% | -66.0% | 0.44 | 0.14 | 4.9x | 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 41-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 41-day average falls below the 130-day average