Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kinsale Capital Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kinsale Capital Group, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 34.4%, drawdown -47.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.2%, MDD -38.3%, Sharpe 0.94, 90% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=65, exitN=160 |
32.2% | -38.3% | 0.94 | 0.84 | 16.3x | 3 | 90% |
| Supertrend period=19, mult=3 |
19.8% | -51.9% | 0.79 | 0.38 | 6.1x | 59 | 60% |
| SMA 크로스오버 fast=68, slow=281 |
22.6% | -42.4% | 0.78 | 0.53 | 7.7x | 6 | 73% |
| EMA 크로스오버 fast=56, slow=200 |
22.5% | -46.3% | 0.77 | 0.49 | 7.6x | 8 | 76% |
| ROC 모멘텀 n=146, threshold=-0.04 |
21.3% | -49.0% | 0.74 | 0.43 | 6.9x | 52 | 77% |
| Parabolic SAR step=0.005, maxStep=0.3 |
14.9% | -49.1% | 0.64 | 0.30 | 4.0x | 91 | 58% |
| MACD fast=17, slow=22, signal=13 |
11.2% | -60.2% | 0.53 | 0.19 | 2.9x | 157 | 54% |
| ADX / DI 방향성 period=47, threshold=10 |
10.4% | -49.7% | 0.52 | 0.21 | 2.7x | 53 | 49% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
8.4% | -45.7% | 0.46 | 0.18 | 2.2x | 75 | 46% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=0.8 |
7.1% | -59.8% | 0.39 | 0.12 | 2.0x | 101 | 59% |
| Buy and hold | 34.4% | -47.0% | 0.97 | 0.73 | 19.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 65 days
- Sell — Sell when price breaks below the lowest low of the last 160 days