Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hippo Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Hippo Holdings Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.6%, MDD -18.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.4%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.9%, MDD -44.9%, Sharpe 0.85, 36% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 61.3%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR 15.6%, MDD -18.2%, exposure 8%).
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=57, slow=93 |
28.9% | -44.9% | 0.85 | 0.64 | 4.3x | 13 | 36% |
| Donchian 채널 돌파 entryN=90, exitN=5 |
15.6% | -18.2% | 0.71 | 0.86 | 2.3x | 12 | 8% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
16.7% | -25.9% | 0.70 | 0.64 | 2.4x | 8 | 12% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=3.3 |
12.4% | -24.3% | 0.61 | 0.51 | 2.0x | 6 | 7% |
| ROC 모멘텀 n=78, threshold=0.02 |
17.4% | -40.9% | 0.61 | 0.43 | 2.5x | 43 | 34% |
| EMA 크로스오버 fast=32, slow=101 |
15.8% | -38.7% | 0.56 | 0.41 | 2.3x | 7 | 34% |
| ADX / DI 방향성 period=14, threshold=38 |
6.0% | -30.5% | 0.37 | 0.20 | 1.4x | 14 | 8% |
| Supertrend period=16, mult=2.1 |
5.7% | -65.9% | 0.34 | 0.09 | 1.4x | 48 | 38% |
| MACD fast=14, slow=25, signal=12 |
-8.1% | -80.2% | 0.06 | -0.10 | 0.6x | 72 | 54% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-15.1% | -87.6% | -0.13 | -0.17 | 0.4x | 110 | 44% |
| Buy and hold | -32.4% | -98.1% | -0.25 | -0.33 | 0.1x | 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 57-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 57-day average falls below the 93-day average