Trend-Following Backtester · Guide · backtest 한국어
equity · US
Essent Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Essent Group Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -46.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -46.6%, Sharpe 0.46, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 18.3%p (CAGR 8.1%, MDD -46.6%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=40 |
8.1% | -46.6% | 0.46 | 0.17 | 2.7x | 75 | 59% |
| Donchian 채널 돌파 entryN=80, exitN=62 |
6.5% | -39.7% | 0.42 | 0.16 | 2.2x | 17 | 58% |
| EMA 크로스오버 fast=45, slow=91 |
5.1% | -54.4% | 0.35 | 0.09 | 1.9x | 31 | 63% |
| Supertrend period=8, mult=4 |
4.9% | -41.6% | 0.34 | 0.12 | 1.8x | 53 | 54% |
| ROC 모멘텀 n=122, threshold=-0.04 |
3.4% | -51.9% | 0.26 | 0.07 | 1.5x | 97 | 69% |
| MACD fast=19, slow=57, signal=20 |
1.5% | -50.9% | 0.17 | 0.03 | 1.2x | 121 | 48% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
0.2% | -3.3% | 0.14 | 0.06 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=11, mult=1.2 |
0.1% | -29.4% | 0.07 | 0.00 | 1.0x | 124 | 18% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.7% | -43.8% | -0.01 | -0.06 | 0.7x | 123 | 54% |
| ADX / DI 방향성 period=32, threshold=16 |
-2.3% | -37.6% | -0.12 | -0.06 | 0.7x | 46 | 17% |
| Buy and hold | 9.4% | -64.9% | 0.43 | 0.14 | 3.1x | 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 20-day average price crosses above the 40-day average
- Sell — Sell (to cash) when the 20-day average falls below the 40-day average