Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kemper Corporation backtest
10 trend-following strategies were compared on the full daily history of Kemper Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 1.6%, drawdown -84.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.8%, MDD -82.3%, Sharpe 0.21, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.15 |
1.8% | -82.3% | 0.21 | 0.02 | 1.9x | 21 | 100% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
0.7% | -16.7% | 0.18 | 0.04 | 1.3x | 32 | 3% |
| ADX / DI 방향성 period=29, threshold=38 |
0.4% | -16.4% | 0.15 | 0.03 | 1.2x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=16, mult=4 |
0.6% | -23.5% | 0.14 | 0.03 | 1.3x | 32 | 5% |
| EMA 크로스오버 fast=44, slow=110 |
-0.3% | -55.9% | 0.08 | -0.00 | 0.9x | 72 | 55% |
| Donchian 채널 돌파 entryN=19, exitN=61 |
-1.4% | -65.9% | 0.06 | -0.02 | 0.6x | 123 | 73% |
| Supertrend period=12, mult=5 |
-0.8% | -66.4% | 0.06 | -0.01 | 0.8x | 107 | 51% |
| SMA 크로스오버 fast=23, slow=114 |
-0.9% | -67.4% | 0.05 | -0.01 | 0.7x | 112 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.2% | -88.8% | -0.04 | -0.04 | 0.3x | 485 | 51% |
| MACD fast=18, slow=27, signal=13 |
-4.5% | -89.0% | -0.10 | -0.05 | 0.2x | 517 | 49% |
| Buy and hold | 1.6% | -84.9% | 0.21 | 0.02 | 1.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -15%
- Sell — Sell when the 3-day return drops to -15% or below