Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Sabre Insurance Group Plc backtest
10 trend-following strategies were compared on the full daily history of Sabre Insurance Group Plc. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -9.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.9%, drawdown -75.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.0%, MDD -13.8%, Sharpe 0.30, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.5%, MDD -36.1%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 61.3%p (CAGR 0.0%, MDD -9.3%, exposure 2%).
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 entryN=93, exitN=5 |
2.0% | -13.8% | 0.30 | 0.14 | 1.2x | 17 | 8% |
| SMA 크로스오버 fast=28, slow=76 |
3.5% | -36.1% | 0.27 | 0.10 | 1.3x | 27 | 48% |
| ROC 모멘텀 n=88, threshold=0.07 |
0.4% | -33.5% | 0.10 | 0.01 | 1.0x | 69 | 28% |
| ADX / DI 방향성 period=31, threshold=36 |
0.0% | -9.3% | 0.02 | 0.00 | 1.0x | 2 | 2% |
| Supertrend period=6, mult=5 |
-3.1% | -59.4% | -0.04 | -0.05 | 0.8x | 21 | 55% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
-1.5% | -29.7% | -0.10 | -0.05 | 0.9x | 36 | 10% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=28, mult=2.2 |
-1.5% | -21.8% | -0.14 | -0.07 | 0.9x | 20 | 6% |
| EMA 크로스오버 fast=25, slow=82 |
-4.6% | -60.3% | -0.18 | -0.08 | 0.7x | 35 | 44% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-7.2% | -60.9% | -0.26 | -0.12 | 0.5x | 228 | 49% |
| MACD fast=9, slow=22, signal=10 |
-9.0% | -70.8% | -0.32 | -0.13 | 0.4x | 184 | 49% |
| Buy and hold | -3.9% | -75.1% | 0.06 | -0.05 | 0.7x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 5 days