Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allstate Corporation (The) backtest
10 trend-following strategies were compared on the full daily history of Allstate Corporation (The). 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -40.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.1%, drawdown -78.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -40.6%, Sharpe 0.62, 59% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.4%, MDD -48.0%, exposure 64%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 9.7%, MDD -40.6%, exposure 59%).
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=96, exitN=70 |
9.7% | -40.6% | 0.62 | 0.24 | 21.4x | 39 | 59% |
| SMA 크로스오버 fast=57, slow=192 |
10.4% | -48.0% | 0.61 | 0.22 | 26.3x | 29 | 64% |
| EMA 크로스오버 fast=48, slow=134 |
8.1% | -49.6% | 0.51 | 0.16 | 13.3x | 43 | 65% |
| Keltner 채널 돌파 emaPeriod=133, atrPeriod=11, mult=2.6 |
5.7% | -41.6% | 0.43 | 0.14 | 6.2x | 87 | 52% |
| ROC 모멘텀 n=150, threshold=0.01 |
5.5% | -68.0% | 0.39 | 0.08 | 5.9x | 223 | 62% |
| Supertrend period=8, mult=5 |
4.7% | -57.8% | 0.34 | 0.08 | 4.6x | 93 | 59% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
1.5% | -17.8% | 0.31 | 0.09 | 1.7x | 27 | 9% |
| ADX / DI 방향성 period=30, threshold=24 |
1.3% | -20.2% | 0.21 | 0.06 | 1.5x | 46 | 10% |
| MACD fast=18, slow=53, signal=17 |
-3.6% | -83.4% | -0.07 | -0.04 | 0.3x | 411 | 51% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-3.5% | -74.5% | -0.08 | -0.05 | 0.3x | 595 | 55% |
| Buy and hold | 9.1% | -78.6% | 0.44 | 0.12 | 17.9x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 70 days