Trend-Following Backtester · Guide · backtest 한국어
equity · US
Donegal Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Donegal Group, 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 4.2%, drawdown -49.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.9%, MDD -63.4%, Sharpe 0.22, 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=-0.1 |
1.9% | -63.4% | 0.22 | 0.03 | 1.5x | 13 | 100% |
| ADX / DI 방향성 period=29, threshold=27 |
0.2% | -9.5% | 0.07 | 0.02 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=56, slow=208 |
-2.0% | -69.9% | 0.02 | -0.03 | 0.6x | 40 | 50% |
| Donchian 채널 돌파 entryN=21, exitN=65 |
-3.9% | -78.3% | -0.00 | -0.05 | 0.4x | 57 | 76% |
| Supertrend period=5, mult=5 |
-3.9% | -80.5% | -0.05 | -0.05 | 0.4x | 53 | 53% |
| EMA 크로스오버 fast=58, slow=118 |
-4.0% | -80.2% | -0.07 | -0.05 | 0.4x | 51 | 52% |
| 볼린저 밴드 돌파 n=46, k=3.1 |
-2.1% | -57.3% | -0.17 | -0.04 | 0.6x | 32 | 10% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=3.7 |
-2.4% | -54.7% | -0.19 | -0.04 | 0.6x | 29 | 10% |
| MACD fast=24, slow=56, signal=23 |
-12.3% | -97.0% | -0.49 | -0.13 | 0.0x | 229 | 48% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-15.7% | -98.9% | -0.61 | -0.16 | 0.0x | 433 | 49% |
| Buy and hold | 4.2% | -49.4% | 0.29 | 0.09 | 2.6x | 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