Trend-Following Backtester · Guide · backtest 한국어
equity · US
International General Insurance Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of International General Insurance Holdings Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.2%, MDD -28.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.7%, drawdown -50.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.4%, MDD -35.6%, Sharpe 0.67, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 13.2%, MDD -28.1%, exposure 68%).
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=49, slow=203 |
15.4% | -35.6% | 0.67 | 0.43 | 3.3x | 7 | 63% |
| EMA 크로스오버 fast=51, slow=150 |
13.2% | -28.1% | 0.61 | 0.47 | 2.8x | 9 | 68% |
| Donchian 채널 돌파 entryN=49, exitN=58 |
11.0% | -34.4% | 0.59 | 0.32 | 2.4x | 11 | 59% |
| ADX / DI 방향성 period=39, threshold=23 |
6.8% | -17.1% | 0.52 | 0.40 | 1.7x | 18 | 24% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=4 |
5.1% | -17.7% | 0.51 | 0.29 | 1.5x | 12 | 22% |
| ROC 모멘텀 n=173, threshold=0.02 |
9.2% | -38.8% | 0.48 | 0.24 | 2.1x | 53 | 66% |
| Supertrend period=25, mult=5 |
7.8% | -37.5% | 0.45 | 0.21 | 1.9x | 19 | 60% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
0.5% | -41.7% | 0.12 | 0.01 | 1.0x | 23 | 25% |
| MACD fast=27, slow=71, signal=23 |
-1.7% | -52.0% | 0.06 | -0.03 | 0.9x | 67 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.3% | -52.1% | 0.01 | -0.06 | 0.8x | 69 | 60% |
| Buy and hold | 13.7% | -50.6% | 0.52 | 0.27 | 2.9x | 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 49-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 49-day average falls below the 203-day average