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 Keltner 채널 돌파 (CAGR 12.3%, MDD -19.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.9%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.5%, MDD -38.7%, Sharpe 0.73, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 56.4%p higher than buy and hold, while drawdown improves by 59.4%p (CAGR 12.3%, MDD -19.8%, exposure 6%).
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=33, slow=121 |
23.5% | -38.7% | 0.73 | 0.61 | 3.2x | 13 | 34% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
16.9% | -25.9% | 0.71 | 0.65 | 2.4x | 7 | 11% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=3.3 |
12.3% | -19.8% | 0.63 | 0.62 | 1.9x | 6 | 6% |
| ROC 모멘텀 n=82, threshold=0.07 |
15.6% | -45.2% | 0.57 | 0.35 | 2.2x | 33 | 28% |
| EMA 크로스오버 fast=13, slow=150 |
15.4% | -39.9% | 0.56 | 0.39 | 2.2x | 5 | 30% |
| Donchian 채널 돌파 entryN=40, exitN=48 |
14.3% | -46.8% | 0.52 | 0.31 | 2.1x | 11 | 38% |
| Supertrend period=41, mult=3.5 |
11.3% | -54.3% | 0.46 | 0.21 | 1.8x | 19 | 40% |
| ADX / DI 방향성 period=11, threshold=33 |
5.8% | -49.2% | 0.33 | 0.12 | 1.4x | 29 | 13% |
| MACD fast=10, slow=55, signal=17 |
-12.4% | -87.6% | -0.03 | -0.14 | 0.5x | 65 | 56% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-16.6% | -88.3% | -0.16 | -0.19 | 0.4x | 109 | 43% |
| Buy and hold | -32.9% | -98.1% | -0.25 | -0.34 | 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 33-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 33-day average falls below the 121-day average