Trend-Following Backtester · Guide · backtest 한국어
equity · US
AFLAC Incorporated backtest
10 trend-following strategies were compared on the full daily history of AFLAC Incorporated. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.9%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -58.7%, Sharpe 0.56, 78% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=383 |
11.9% | -58.7% | 0.56 | 0.20 | 188.4x | 41 | 78% |
| Donchian 채널 돌파 entryN=20, exitN=50 |
10.0% | -55.8% | 0.48 | 0.18 | 85.3x | 145 | 80% |
| ROC 모멘텀 n=171, threshold=-0.04 |
9.6% | -54.6% | 0.48 | 0.18 | 69.6x | 263 | 79% |
| EMA 크로스오버 fast=33, slow=179 |
8.4% | -57.3% | 0.44 | 0.15 | 42.3x | 87 | 75% |
| Supertrend period=7, mult=5 |
7.2% | -43.6% | 0.41 | 0.17 | 25.7x | 140 | 61% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=1.6 |
2.0% | -71.5% | 0.20 | 0.03 | 2.6x | 316 | 51% |
| 볼린저 밴드 돌파 n=57, k=1.8 |
1.3% | -59.4% | 0.16 | 0.02 | 1.8x | 226 | 42% |
| ADX / DI 방향성 period=36, threshold=32 |
0.4% | -11.9% | 0.13 | 0.04 | 1.2x | 6 | 1% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-0.9% | -87.1% | 0.09 | -0.01 | 0.6x | 806 | 55% |
| MACD fast=19, slow=36, signal=18 |
-1.8% | -83.5% | 0.04 | -0.02 | 0.4x | 564 | 50% |
| Buy and hold | 15.9% | -83.2% | 0.59 | 0.19 | 961.0x | 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 26-day average price crosses above the 383-day average
- Sell — Sell (to cash) when the 26-day average falls below the 383-day average