Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hiscox Ltd backtest
10 trend-following strategies were compared on the full daily history of Hiscox Ltd. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.2%, MDD -44.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -66.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -53.9%, Sharpe 0.48, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 7.2%, MDD -44.8%, exposure 88%).
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 Hold-like · Exposure 96% entryN=5, exitN=146 |
10.8% | -53.9% | 0.48 | 0.20 | 15.2x | 35 | 96% |
| ROC 모멘텀 n=95, threshold=-0.11 |
7.2% | -44.8% | 0.38 | 0.16 | 6.4x | 111 | 88% |
| SMA 크로스오버 fast=42, slow=177 |
3.5% | -54.9% | 0.25 | 0.06 | 2.5x | 49 | 65% |
| EMA 크로스오버 fast=75, slow=244 |
2.9% | -72.2% | 0.24 | 0.04 | 2.2x | 29 | 73% |
| ADX / DI 방향성 period=30, threshold=33 |
1.6% | -27.2% | 0.17 | 0.06 | 1.5x | 6 | 3% |
| 볼린저 밴드 돌파 n=48, k=2.1 |
0.9% | -42.0% | 0.14 | 0.02 | 1.3x | 128 | 38% |
| Supertrend period=12, mult=4.9 |
0.3% | -62.8% | 0.13 | 0.00 | 1.1x | 83 | 61% |
| MACD fast=14, slow=28, signal=18 |
-1.9% | -79.1% | 0.00 | -0.02 | 0.6x | 378 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=27, mult=2.4 |
-2.0% | -65.8% | -0.02 | -0.03 | 0.6x | 130 | 33% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.8% | -85.9% | -0.06 | -0.04 | 0.4x | 237 | 55% |
| Buy and hold | 8.6% | -66.4% | 0.41 | 0.13 | 8.9x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 146 days