Trend-Following Backtester · Guide · backtest 한국어
equity · US
Palomar Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Palomar Holdings, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 31.8%, MDD -35.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 30.6%, drawdown -62.9%).
Sharpe leader (same as main): Supertrend — CAGR 31.8%, MDD -35.4%, Sharpe 0.95, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 31.8%, MDD -39.8%, exposure 72%.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 31.8%, MDD -35.4%, exposure 61%).
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=11, mult=3.1 |
31.8% | -35.4% | 0.95 | 0.90 | 7.5x | 40 | 61% |
| Donchian 채널 돌파 entryN=9, exitN=18 |
31.8% | -39.8% | 0.91 | 0.80 | 7.5x | 47 | 72% |
| Parabolic SAR step=0.01, maxStep=0.16 |
26.9% | -27.0% | 0.87 | 1.00 | 5.7x | 103 | 53% |
| ADX / DI 방향성 period=33, threshold=33 |
10.0% | -12.4% | 0.86 | 0.81 | 2.0x | 2 | 6% |
| 볼린저 밴드 돌파 n=37, k=1.3 |
21.7% | -28.0% | 0.78 | 0.77 | 4.2x | 53 | 47% |
| EMA 크로스오버 fast=11, slow=18 |
22.0% | -48.4% | 0.73 | 0.45 | 4.2x | 73 | 60% |
| SMA 크로스오버 fast=45, slow=81 |
22.1% | -57.8% | 0.71 | 0.38 | 4.3x | 21 | 63% |
| MACD fast=17, slow=47, signal=19 |
16.1% | -37.0% | 0.62 | 0.44 | 3.0x | 77 | 52% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=3.4 |
11.5% | -30.3% | 0.61 | 0.38 | 2.2x | 17 | 25% |
| ROC 모멘텀 n=28, threshold=0.03 |
14.9% | -36.3% | 0.59 | 0.41 | 2.8x | 137 | 51% |
| Buy and hold | 30.6% | -62.9% | 0.80 | 0.49 | 7.0x | 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) — 11-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)