Trend-Following Backtester · Guide · backtest 한국어
equity · US
AMERISAFE, Inc. backtest
10 trend-following strategies were compared on the full daily history of AMERISAFE, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -61.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -61.3%, Sharpe 0.33, 100% 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 100% n=1, threshold=-0.13 |
5.7% | -61.3% | 0.33 | 0.09 | 3.2x | 3 | 100% |
| SMA 크로스오버 fast=47, slow=248 |
3.0% | -62.3% | 0.24 | 0.05 | 1.8x | 28 | 58% |
| ADX / DI 방향성 period=48, threshold=19 |
1.0% | -17.9% | 0.16 | 0.06 | 1.2x | 8 | 4% |
| Donchian 채널 돌파 entryN=5, exitN=75 |
-0.2% | -73.9% | 0.15 | -0.00 | 1.0x | 68 | 91% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=15, mult=3.6 |
0.1% | -4.7% | 0.07 | 0.03 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=58, slow=148 |
-2.7% | -70.0% | 0.02 | -0.04 | 0.6x | 36 | 58% |
| Supertrend period=17, mult=4.9 |
-2.1% | -58.5% | 0.01 | -0.04 | 0.6x | 50 | 51% |
| MACD fast=11, slow=22, signal=16 |
-5.0% | -74.9% | -0.11 | -0.07 | 0.3x | 322 | 49% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
-2.0% | -46.9% | -0.14 | -0.04 | 0.7x | 34 | 12% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-12.1% | -94.2% | -0.44 | -0.13 | 0.1x | 390 | 51% |
| Buy and hold | 5.8% | -61.9% | 0.34 | 0.09 | 3.2x | 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 -13%
- Sell — Sell when the 1-day return drops to -13% or below