Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trupanion, Inc. backtest
10 trend-following strategies were compared on the full daily history of Trupanion, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.1%, MDD -25.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.5%, drawdown -87.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.5%, MDD -64.6%, Sharpe 0.64, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 8.1%, MDD -25.7%, exposure 11%).
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=29, slow=49 |
18.5% | -64.6% | 0.64 | 0.29 | 7.7x | 55 | 50% |
| Donchian 채널 돌파 entryN=45, exitN=28 |
14.8% | -67.0% | 0.57 | 0.22 | 5.2x | 36 | 42% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
8.1% | -25.7% | 0.56 | 0.31 | 2.5x | 14 | 11% |
| ADX / DI 방향성 period=38, threshold=27 |
6.9% | -27.1% | 0.52 | 0.26 | 2.2x | 8 | 11% |
| Supertrend period=9, mult=3.9 |
10.8% | -72.7% | 0.46 | 0.15 | 3.4x | 49 | 52% |
| EMA 크로스오버 fast=37, slow=46 |
10.5% | -80.7% | 0.45 | 0.13 | 3.3x | 39 | 53% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=4 |
4.2% | -22.7% | 0.42 | 0.18 | 1.6x | 12 | 7% |
| MACD fast=19, slow=51, signal=13 |
6.1% | -70.7% | 0.35 | 0.09 | 2.0x | 126 | 49% |
| ROC 모멘텀 n=37, threshold=0.02 |
6.0% | -79.2% | 0.34 | 0.08 | 2.0x | 197 | 48% |
| Parabolic SAR step=0.02, maxStep=0.04 |
5.2% | -82.5% | 0.34 | 0.06 | 1.8x | 128 | 48% |
| Buy and hold | 6.5% | -87.3% | 0.41 | 0.07 | 2.1x | 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 29-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 29-day average falls below the 49-day average