Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tiptree Inc. backtest
10 trend-following strategies were compared on the full daily history of Tiptree 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 8.6%, drawdown -55.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.6%, MDD -51.1%, Sharpe 0.27, 45% 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=127, exitN=75 |
3.6% | -51.1% | 0.27 | 0.07 | 1.7x | 16 | 45% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
2.7% | -41.6% | 0.24 | 0.07 | 1.5x | 16 | 9% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=4 |
2.4% | -33.0% | 0.23 | 0.07 | 1.4x | 10 | 2% |
| SMA 크로스오버 fast=42, slow=64 |
1.6% | -55.2% | 0.21 | 0.03 | 1.3x | 77 | 53% |
| EMA 크로스오버 fast=72, slow=214 |
1.0% | -60.2% | 0.20 | 0.02 | 1.2x | 18 | 58% |
| ADX / DI 방향성 period=33, threshold=34 |
0.7% | -37.3% | 0.12 | 0.02 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.1% | -76.9% | 0.10 | -0.03 | 0.7x | 104 | 54% |
| MACD fast=30, slow=38, signal=17 |
-7.8% | -87.5% | -0.08 | -0.09 | 0.3x | 174 | 50% |
| Supertrend period=27, mult=5 |
-6.5% | -84.1% | -0.08 | -0.08 | 0.3x | 53 | 42% |
| ROC 모멘텀 n=115, threshold=0.1 |
-10.6% | -90.4% | -0.30 | -0.12 | 0.2x | 188 | 32% |
| Buy and hold | 8.6% | -55.9% | 0.41 | 0.15 | 3.7x | 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 127 days
- Sell — Sell when price breaks below the lowest low of the last 75 days