Trend-Following Backtester · Guide · backtest 한국어
equity · US
Goosehead Insurance, Inc. backtest
10 trend-following strategies were compared on the full daily history of Goosehead Insurance, Inc.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.3%, MDD -42.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 18.0%, drawdown -83.4%).
Sharpe leader (same as main): Supertrend — CAGR 37.4%, MDD -50.1%, Sharpe 0.97, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.4%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 21.3%, MDD -42.8%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=2.6 |
37.4% | -50.1% | 0.97 | 0.75 | 13.8x | 55 | 55% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=2.5 |
21.3% | -42.8% | 0.74 | 0.50 | 4.9x | 27 | 36% |
| ROC 모멘텀 n=28, threshold=-0.03 |
23.2% | -57.5% | 0.69 | 0.40 | 5.6x | 127 | 60% |
| Donchian 채널 돌파 entryN=98, exitN=66 |
20.4% | -50.2% | 0.68 | 0.41 | 4.6x | 9 | 51% |
| EMA 크로스오버 fast=49, slow=143 |
21.1% | -44.5% | 0.67 | 0.47 | 4.9x | 10 | 59% |
| SMA 크로스오버 fast=48, slow=143 |
19.3% | -44.5% | 0.65 | 0.43 | 4.3x | 12 | 51% |
| ADX / DI 방향성 period=26, threshold=12 |
17.4% | -58.5% | 0.61 | 0.30 | 3.8x | 85 | 48% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
8.6% | -30.0% | 0.52 | 0.29 | 2.0x | 16 | 12% |
| Parabolic SAR step=0.015, maxStep=0.26 |
5.1% | -63.6% | 0.33 | 0.08 | 1.5x | 151 | 54% |
| MACD fast=15, slow=38, signal=16 |
-7.1% | -83.9% | 0.03 | -0.08 | 0.5x | 121 | 51% |
| Buy and hold | 18.0% | -83.4% | 0.58 | 0.22 | 3.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)