Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Coastal Insurance Corporation backtest
10 trend-following strategies were compared on the full daily history of American Coastal Insurance Corporation. 8 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 14.8%, MDD -59.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.1%, drawdown -98.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.6%, MDD -64.0%, Sharpe 0.58, 74% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.5%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 14.8%, MDD -59.6%, exposure 35%).
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=22, exitN=86 |
18.6% | -64.0% | 0.58 | 0.29 | 24.4x | 43 | 74% |
| EMA 크로스오버 fast=27, slow=31 |
15.9% | -69.4% | 0.54 | 0.23 | 16.0x | 88 | 49% |
| ADX / DI 방향성 period=32, threshold=15 |
14.8% | -59.6% | 0.53 | 0.25 | 13.2x | 98 | 35% |
| SMA 크로스오버 fast=8, slow=102 |
14.8% | -70.7% | 0.52 | 0.21 | 13.3x | 74 | 51% |
| ROC 모멘텀 n=82, threshold=0.13 |
9.4% | -68.2% | 0.42 | 0.14 | 5.4x | 150 | 30% |
| 볼린저 밴드 돌파 n=34, k=2.4 |
7.7% | -60.3% | 0.38 | 0.13 | 4.0x | 90 | 28% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=1.5 |
7.2% | -65.2% | 0.38 | 0.11 | 3.6x | 100 | 42% |
| Supertrend period=27, mult=3 |
6.2% | -62.0% | 0.36 | 0.10 | 3.1x | 137 | 43% |
| MACD fast=13, slow=44, signal=10 |
-2.6% | -80.0% | 0.19 | -0.03 | 0.6x | 261 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-3.0% | -87.9% | 0.16 | -0.03 | 0.6x | 315 | 47% |
| Buy and hold | 2.1% | -98.9% | 0.35 | 0.02 | 1.5x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 86 days