Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chubb Limited backtest
10 trend-following strategies were compared on the full daily history of Chubb Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.9%, MDD -37.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -65.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -37.1%, Sharpe 0.54, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 28.1%p (CAGR 8.9%, MDD -37.1%, exposure 68%).
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=16, slow=204 |
8.9% | -37.1% | 0.54 | 0.24 | 17.0x | 49 | 68% |
| EMA 크로스오버 fast=49, slow=192 |
8.2% | -36.9% | 0.50 | 0.22 | 13.8x | 33 | 70% |
| ROC 모멘텀 n=129, threshold=-0.09 |
6.3% | -64.8% | 0.38 | 0.10 | 7.7x | 181 | 83% |
| ADX / DI 방향성 period=44, threshold=25 |
1.3% | -11.4% | 0.34 | 0.12 | 1.6x | 4 | 3% |
| Donchian 채널 돌파 entryN=93, exitN=78 |
3.9% | -78.2% | 0.30 | 0.05 | 3.6x | 47 | 65% |
| Supertrend period=20, mult=2.5 |
2.3% | -50.0% | 0.21 | 0.05 | 2.1x | 317 | 58% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
0.1% | -9.0% | 0.10 | 0.01 | 1.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=21, mult=1.3 |
-1.0% | -81.0% | 0.04 | -0.01 | 0.7x | 259 | 55% |
| MACD fast=12, slow=29, signal=15 |
-4.6% | -89.5% | -0.13 | -0.05 | 0.2x | 540 | 49% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-5.1% | -91.3% | -0.14 | -0.06 | 0.2x | 715 | 55% |
| Buy and hold | 11.4% | -65.1% | 0.51 | 0.17 | 36.6x | 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 16-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 16-day average falls below the 204-day average