Trend-Following Backtester · Guide · backtest 한국어
equity · US
Axis Capital Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Axis Capital Holdings Limited. 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 6.0%, drawdown -57.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -32.9%, Sharpe 0.34, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.5%, MDD -37.1%, exposure 85%.
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=58, slow=185 |
4.5% | -32.9% | 0.34 | 0.14 | 2.8x | 33 | 65% |
| ROC 모멘텀 n=98, threshold=-0.09 |
4.5% | -37.1% | 0.32 | 0.12 | 2.8x | 91 | 85% |
| Donchian 채널 돌파 entryN=35, exitN=78 |
3.1% | -44.5% | 0.26 | 0.07 | 2.0x | 43 | 74% |
| EMA 크로스오버 fast=31, slow=116 |
1.4% | -49.7% | 0.17 | 0.03 | 1.4x | 62 | 66% |
| ADX / DI 방향성 period=30, threshold=31 |
0.1% | -6.3% | 0.07 | 0.01 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=63, k=2.9 |
0.2% | -28.1% | 0.07 | 0.01 | 1.1x | 28 | 13% |
| Supertrend period=27, mult=4.2 |
-2.2% | -63.8% | -0.04 | -0.03 | 0.6x | 104 | 58% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=12, mult=2.7 |
-0.6% | -22.7% | -0.11 | -0.03 | 0.9x | 30 | 5% |
| MACD fast=14, slow=48, signal=7 |
-6.4% | -82.5% | -0.30 | -0.08 | 0.2x | 428 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.6% | -86.4% | -0.35 | -0.09 | 0.2x | 212 | 56% |
| Buy and hold | 6.0% | -57.2% | 0.35 | 0.10 | 3.8x | 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 58-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 58-day average falls below the 185-day average