Trend-Following Backtester · Guide · backtest 한국어
equity · US
Heritage Insurance Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Heritage Insurance Holdings, Inc.. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.8%, MDD -45.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.0%, drawdown -95.1%).
Sharpe leader (same as main): MACD — CAGR 15.8%, MDD -79.9%, Sharpe 0.56, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 9.8%, MDD -45.3%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=25, signal=12 |
15.8% | -79.9% | 0.56 | 0.20 | 6.0x | 203 | 50% |
| EMA 크로스오버 fast=57, slow=211 |
11.4% | -59.0% | 0.47 | 0.19 | 3.7x | 15 | 42% |
| ROC 모멘텀 n=135, threshold=0.24 |
9.8% | -45.3% | 0.45 | 0.22 | 3.1x | 58 | 28% |
| SMA 크로스오버 fast=9, slow=75 |
7.8% | -71.0% | 0.39 | 0.11 | 2.5x | 61 | 45% |
| Donchian 채널 돌파 entryN=39, exitN=47 |
4.6% | -84.0% | 0.31 | 0.05 | 1.7x | 33 | 53% |
| Supertrend period=9, mult=3.2 |
3.9% | -85.5% | 0.29 | 0.05 | 1.6x | 71 | 52% |
| ADX / DI 방향성 period=8, threshold=39 |
4.1% | -51.8% | 0.29 | 0.08 | 1.6x | 94 | 14% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
3.8% | -40.5% | 0.28 | 0.09 | 1.6x | 14 | 12% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.2% | -81.3% | 0.27 | 0.04 | 1.5x | 155 | 47% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=31, mult=0.8 |
-0.1% | -80.7% | 0.18 | -0.00 | 1.0x | 107 | 41% |
| Buy and hold | 8.0% | -95.1% | 0.41 | 0.08 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/25) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line