Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arch Capital Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Arch Capital Group Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -43.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -54.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -51.7%, Sharpe 0.61, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 3.0%p (CAGR 10.8%, MDD -43.5%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=184 |
11.4% | -51.7% | 0.61 | 0.22 | 28.4x | 33 | 70% |
| EMA 크로스오버 fast=57, slow=116 |
10.8% | -43.5% | 0.59 | 0.25 | 23.8x | 35 | 72% |
| Donchian 채널 돌파 entryN=77, exitN=42 |
6.8% | -30.6% | 0.46 | 0.22 | 7.6x | 63 | 55% |
| ROC 모멘텀 n=174, threshold=0 |
7.0% | -59.5% | 0.44 | 0.12 | 8.2x | 215 | 72% |
| Supertrend period=28, mult=4.6 |
3.3% | -55.7% | 0.27 | 0.06 | 2.7x | 95 | 61% |
| 볼린저 밴드 돌파 n=64, k=3.4 |
0.7% | -21.4% | 0.13 | 0.03 | 1.2x | 26 | 11% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=1.8 |
-0.2% | -43.7% | 0.06 | -0.00 | 0.9x | 182 | 47% |
| ADX / DI 방향성 period=35, threshold=23 |
0.2% | -27.1% | 0.06 | 0.01 | 1.0x | 40 | 10% |
| MACD fast=18, slow=23, signal=19 |
-6.2% | -89.3% | -0.22 | -0.07 | 0.1x | 438 | 49% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-6.7% | -91.1% | -0.26 | -0.07 | 0.1x | 563 | 55% |
| Buy and hold | 12.8% | -54.7% | 0.56 | 0.23 | 41.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 57-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 57-day average falls below the 184-day average