Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enact Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Enact Holdings, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.9%, drawdown -21.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.3%, MDD -17.2%, Sharpe 0.75, 76% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.9%, MDD -20.7%, exposure 87%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=73, slow=259 |
13.3% | -17.2% | 0.75 | 0.78 | 1.9x | 3 | 76% |
| ROC 모멘텀 n=140, threshold=-0.09 |
14.9% | -20.7% | 0.74 | 0.72 | 2.0x | 9 | 87% |
| EMA 크로스오버 fast=39, slow=193 |
13.4% | -21.9% | 0.72 | 0.61 | 1.9x | 3 | 81% |
| Donchian 채널 돌파 entryN=12, exitN=70 |
11.1% | -20.7% | 0.56 | 0.54 | 1.7x | 7 | 93% |
| ADX / DI 방향성 period=29, threshold=30 |
1.4% | -3.4% | 0.49 | 0.42 | 1.1x | 2 | 3% |
| MACD fast=10, slow=12, signal=12 |
6.9% | -18.7% | 0.49 | 0.37 | 1.4x | 102 | 48% |
| Supertrend period=19, mult=1.6 |
3.9% | -19.6% | 0.31 | 0.20 | 1.2x | 74 | 55% |
| Parabolic SAR step=0.025, maxStep=0.14 |
2.0% | -22.2% | 0.20 | 0.09 | 1.1x | 120 | 56% |
| 볼린저 밴드 돌파 n=31, k=3 |
0.6% | -11.5% | 0.13 | 0.05 | 1.0x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=3.5 |
-0.1% | -16.1% | 0.01 | -0.01 | 1.0x | 8 | 11% |
| Buy and hold | 15.9% | -21.9% | 0.72 | 0.73 | 2.1x | 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 73-day average price crosses above the 259-day average
- Sell — Sell (to cash) when the 73-day average falls below the 259-day average