Trend-Following Backtester · Guide · backtest 한국어
equity · US
Horace Mann Educators Corporation backtest
10 trend-following strategies were compared on the full daily history of Horace Mann Educators Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -56.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.2%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -56.9%, Sharpe 0.34, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 29.0%p (CAGR 5.1%, MDD -56.9%, exposure 57%).
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=116 |
5.1% | -56.9% | 0.34 | 0.09 | 5.6x | 77 | 57% |
| Donchian 채널 돌파 entryN=74, exitN=62 |
3.8% | -50.5% | 0.29 | 0.08 | 3.7x | 55 | 56% |
| EMA 크로스오버 fast=55, slow=139 |
3.0% | -63.3% | 0.25 | 0.05 | 2.8x | 59 | 60% |
| ROC 모멘텀 n=140, threshold=-0.04 |
1.0% | -80.1% | 0.16 | 0.01 | 1.4x | 241 | 68% |
| ADX / DI 방향성 period=14, threshold=31 |
0.5% | -23.5% | 0.11 | 0.02 | 1.2x | 103 | 10% |
| Supertrend period=16, mult=2.7 |
-2.4% | -82.4% | 0.01 | -0.03 | 0.4x | 296 | 55% |
| MACD fast=21, slow=67, signal=24 |
-2.8% | -81.9% | 0.00 | -0.03 | 0.4x | 318 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=3.1 |
-1.5% | -48.3% | -0.06 | -0.03 | 0.6x | 119 | 25% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
-0.8% | -31.9% | -0.07 | -0.02 | 0.8x | 22 | 7% |
| Parabolic SAR step=0.04, maxStep=0.04 |
-4.4% | -88.2% | -0.08 | -0.05 | 0.2x | 452 | 55% |
| Buy and hold | 5.2% | -85.9% | 0.32 | 0.06 | 5.8x | 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 116-day average
- Sell — Sell (to cash) when the 33-day average falls below the 116-day average