Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Company for Cooperative Insurance backtest
10 trend-following strategies were compared on the full daily history of Company for Cooperative Insurance. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -77.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.4%, MDD -83.2%, Sharpe 0.63, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=1, threshold=-0.1 |
8.4% | -83.2% | 0.63 | 0.10 | 3.8x | 43 | 99% |
| Donchian 채널 돌파 entryN=3, exitN=74 |
0.5% | -88.9% | 0.57 | 0.01 | 1.1x | 75 | 91% |
| SMA 크로스오버 fast=22, slow=172 |
1.5% | -89.5% | 0.42 | 0.02 | 1.3x | 33 | 55% |
| ADX / DI 방향성 period=44, threshold=29 |
2.5% | -21.1% | 0.38 | 0.12 | 1.5x | 6 | 3% |
| EMA 크로스오버 fast=51, slow=98 |
-4.5% | -95.4% | 0.37 | -0.05 | 0.5x | 37 | 58% |
| MACD fast=18, slow=53, signal=18 |
-30.7% | -100.0% | 0.20 | -0.31 | 0.0x | 189 | 49% |
| Supertrend period=17, mult=4.8 |
-37.1% | -100.0% | 0.09 | -0.37 | 0.0x | 76 | 54% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-42.4% | -100.0% | -0.06 | -0.42 | 0.0x | 338 | 48% |
| 볼린저 밴드 돌파 n=26, k=2.3 |
-41.6% | -100.0% | -0.22 | -0.42 | 0.0x | 120 | 25% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=16, mult=3.4 |
-38.8% | -100.0% | -0.24 | -0.39 | 0.0x | 66 | 28% |
| Buy and hold | 10.2% | -77.5% | 0.64 | 0.13 | 5.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -10%
- Sell — Sell when the 1-day return drops to -10% or below