Trend-Following Backtester · Guide · backtest 한국어

equity · US

White Mountains Insurance Group, Ltd. backtest

10 trend-following strategies were compared on the full daily history of White Mountains Insurance Group, Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.

Data 1985-10-23 ~ 2026-07-31daily bars 10,271 (40.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.2%, drawdown -78.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -38.0%, Sharpe 0.53, 67% 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
SMA 크로스오버
fast=41, slow=182
8.2%-38.0%0.530.2225.3x5867%
EMA 크로스오버
fast=59, slow=143
7.6%-42.0%0.490.1819.8x5771%
Donchian 채널 돌파
entryN=108, exitN=73
6.7%-49.2%0.460.1413.9x5859%
ROC 모멘텀
n=144, threshold=-0.05
7.3%-44.7%0.460.1617.4x22778%
Supertrend
period=8, mult=4.7
5.0%-56.5%0.370.097.5x16262%
ADX / DI 방향성
period=34, threshold=18
2.8%-40.1%0.300.073.1x13224%
Keltner 채널 돌파
emaPeriod=46, atrPeriod=23, mult=2.8
2.8%-45.0%0.270.063.1x18635%
볼린저 밴드 돌파
n=56, k=3.5
2.1%-45.0%0.260.052.4x5414%
Parabolic SAR
step=0.015, maxStep=0.16
-2.9%-85.2%-0.07-0.030.3x68655%
MACD
fast=22, slow=32, signal=19
-3.9%-86.8%-0.12-0.040.2x48951%
Buy and hold11.2%-78.6%0.540.1475.2x1100%
1x 10x 1986 1992 1998 2004 2010 2016 2022 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -79% 1986 1992 1998 2004 2010 2016 2022 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -38.0% (1998-07-17 → 2000-04-20), recovered after 801 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

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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