Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hagerty, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hagerty, Inc.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.4%, MDD -26.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.0%, drawdown -59.7%).
Sharpe leader (same as main): Supertrend — CAGR 11.4%, MDD -26.0%, Sharpe 0.48, 44% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 11.4%, MDD -26.0%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=37, mult=1.5 |
11.4% | -26.0% | 0.48 | 0.44 | 1.8x | 76 | 44% |
| ADX / DI 방향성 period=20, threshold=39 |
7.0% | -28.7% | 0.38 | 0.25 | 1.4x | 2 | 3% |
| SMA 크로스오버 fast=10, slow=66 |
7.4% | -46.0% | 0.36 | 0.16 | 1.5x | 23 | 52% |
| ROC 모멘텀 n=74, threshold=-0.02 |
7.0% | -51.4% | 0.35 | 0.14 | 1.4x | 41 | 57% |
| EMA 크로스오버 fast=21, slow=47 |
6.5% | -48.1% | 0.34 | 0.13 | 1.4x | 23 | 54% |
| Donchian 채널 돌파 entryN=134, exitN=52 |
4.1% | -27.2% | 0.31 | 0.15 | 1.2x | 5 | 25% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
4.3% | -35.1% | 0.28 | 0.12 | 1.2x | 8 | 13% |
| Parabolic SAR step=0.02, maxStep=0.12 |
4.0% | -39.6% | 0.27 | 0.10 | 1.2x | 103 | 52% |
| MACD fast=18, slow=25, signal=17 |
1.5% | -42.9% | 0.20 | 0.03 | 1.1x | 69 | 50% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=17, mult=4 |
0.3% | -15.3% | 0.07 | 0.02 | 1.0x | 2 | 1% |
| Buy and hold | 6.0% | -59.7% | 0.34 | 0.10 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 37-day volatility, 1.5× band
- Sell — Sell when price drops below the trend line (flips down)