Trend-Following Backtester · Guide · backtest 한국어
equity · US
Selective Insurance Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Selective Insurance Group, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -65.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -57.6%, Sharpe 0.42, 89% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=122 |
8.2% | -57.6% | 0.42 | 0.14 | 39.0x | 77 | 89% |
| SMA 크로스오버 fast=55, slow=100 |
6.0% | -63.2% | 0.37 | 0.10 | 15.0x | 129 | 62% |
| EMA 크로스오버 fast=34, slow=182 |
4.5% | -63.4% | 0.31 | 0.07 | 7.8x | 77 | 67% |
| ADX / DI 방향성 period=34, threshold=30 |
1.9% | -18.0% | 0.29 | 0.11 | 2.4x | 38 | 9% |
| ROC 모멘텀 n=83, threshold=-0.15 |
3.2% | -72.7% | 0.25 | 0.04 | 4.2x | 237 | 92% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
0.7% | -17.1% | 0.22 | 0.04 | 1.4x | 14 | 2% |
| Supertrend period=9, mult=3.7 |
2.1% | -65.8% | 0.21 | 0.03 | 2.7x | 199 | 59% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=4 |
0.4% | -21.8% | 0.11 | 0.02 | 1.2x | 26 | 4% |
| MACD fast=21, slow=52, signal=24 |
-3.1% | -91.7% | -0.04 | -0.03 | 0.2x | 460 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-6.1% | -99.3% | -0.17 | -0.06 | 0.1x | 1002 | 54% |
| Buy and hold | 10.6% | -65.0% | 0.48 | 0.16 | 106.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 122 days