Trend-Following Backtester · Guide · backtest 한국어
equity · US
CNO Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of CNO Financial Group, Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.3%, MDD -46.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.5%, drawdown -99.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -83.0%, Sharpe 0.44, 84% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 7.3%, MDD -46.5%, exposure 63%).
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=12, exitN=56 |
10.2% | -83.0% | 0.44 | 0.12 | 9.2x | 65 | 84% |
| SMA 크로스오버 fast=47, slow=202 |
8.4% | -61.5% | 0.42 | 0.14 | 6.4x | 31 | 57% |
| Parabolic SAR step=0.005, maxStep=0.32 |
8.4% | -51.5% | 0.41 | 0.16 | 6.4x | 195 | 52% |
| EMA 크로스오버 fast=35, slow=209 |
7.3% | -46.5% | 0.40 | 0.16 | 5.0x | 27 | 63% |
| MACD fast=16, slow=49, signal=30 |
7.4% | -58.3% | 0.37 | 0.13 | 5.1x | 214 | 52% |
| Supertrend period=9, mult=3.7 |
6.2% | -54.9% | 0.35 | 0.11 | 4.0x | 113 | 55% |
| ROC 모멘텀 n=114, threshold=-0.01 |
5.9% | -71.1% | 0.34 | 0.08 | 3.7x | 191 | 59% |
| 볼린저 밴드 돌파 n=31, k=1.5 |
2.2% | -71.8% | 0.22 | 0.03 | 1.7x | 207 | 39% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=15, mult=1.7 |
1.7% | -49.6% | 0.19 | 0.03 | 1.5x | 123 | 45% |
| ADX / DI 방향성 period=28, threshold=13 |
0.1% | -68.7% | 0.14 | 0.00 | 1.0x | 211 | 37% |
| Buy and hold | 4.5% | -99.0% | 0.38 | 0.05 | 2.7x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 56 days