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 9.6%, drawdown -66.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.8%, MDD -74.8%, Sharpe 0.45, 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 |
7.8% | -74.8% | 0.45 | 0.10 | 3.4x | 43 | 99% |
| Donchian 채널 돌파 entryN=3, exitN=74 |
3.0% | -75.1% | 0.38 | 0.04 | 1.6x | 73 | 91% |
| SMA 크로스오버 fast=22, slow=172 |
5.8% | -65.7% | 0.35 | 0.09 | 2.5x | 35 | 55% |
| ADX / DI 방향성 period=44, threshold=29 |
2.2% | -21.1% | 0.31 | 0.10 | 1.4x | 6 | 3% |
| EMA 크로스오버 fast=51, slow=98 |
2.2% | -76.8% | 0.28 | 0.03 | 1.4x | 35 | 58% |
| MACD fast=18, slow=53, signal=18 |
-9.2% | -95.8% | 0.14 | -0.10 | 0.2x | 182 | 49% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-16.1% | -97.1% | -0.03 | -0.17 | 0.1x | 332 | 49% |
| Supertrend period=17, mult=4.8 |
-17.3% | -99.0% | -0.06 | -0.17 | 0.0x | 76 | 54% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=16, mult=3.4 |
-20.2% | -99.4% | -0.27 | -0.20 | 0.0x | 66 | 29% |
| 볼린저 밴드 돌파 n=26, k=2.3 |
-23.5% | -99.5% | -0.34 | -0.24 | 0.0x | 120 | 26% |
| Buy and hold | 9.6% | -66.2% | 0.47 | 0.14 | 4.5x | 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