Trend-Following Backtester · Guide · backtest 한국어
equity · US
Globe Life Inc. backtest
10 trend-following strategies were compared on the full daily history of Globe Life Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.4%, drawdown -75.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.3%, MDD -72.0%, Sharpe 0.51, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=8, threshold=-0.09 |
10.3% | -72.0% | 0.51 | 0.14 | 91.4x | 193 | 97% |
| Donchian 채널 돌파 entryN=113, exitN=44 |
6.3% | -50.6% | 0.48 | 0.12 | 16.2x | 77 | 46% |
| SMA 크로스오버 fast=28, slow=139 |
6.5% | -47.3% | 0.43 | 0.14 | 17.7x | 95 | 66% |
| Supertrend period=26, mult=5 |
6.1% | -60.8% | 0.40 | 0.10 | 15.4x | 149 | 63% |
| EMA 크로스오버 fast=32, slow=92 |
5.8% | -67.1% | 0.39 | 0.09 | 13.5x | 111 | 66% |
| 볼린저 밴드 돌파 n=76, k=2.5 |
2.6% | -40.1% | 0.27 | 0.07 | 3.3x | 107 | 32% |
| ADX / DI 방향성 period=34, threshold=10 |
2.2% | -64.8% | 0.21 | 0.03 | 2.7x | 465 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=4 |
1.4% | -36.9% | 0.18 | 0.04 | 1.9x | 108 | 25% |
| MACD fast=28, slow=45, signal=17 |
1.1% | -68.0% | 0.16 | 0.02 | 1.6x | 458 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.2% | -75.8% | 0.16 | 0.02 | 1.7x | 400 | 59% |
| Buy and hold | 9.4% | -75.7% | 0.46 | 0.12 | 60.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -9%
- Sell — Sell when the 8-day return drops to -9% or below