Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mercury General Corporation backtest
10 trend-following strategies were compared on the full daily history of Mercury General 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 7.2%, MDD -44.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -69.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -44.5%, Sharpe 0.42, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 25.2%p (CAGR 7.2%, MDD -44.5%, 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=37, slow=260 |
7.2% | -44.5% | 0.42 | 0.16 | 17.1x | 51 | 57% |
| EMA 크로스오버 fast=57, slow=204 |
6.6% | -53.0% | 0.40 | 0.12 | 13.3x | 45 | 58% |
| Donchian 채널 돌파 entryN=14, exitN=73 |
5.8% | -67.0% | 0.35 | 0.09 | 10.1x | 123 | 83% |
| Supertrend period=10, mult=2.3 |
3.4% | -78.5% | 0.26 | 0.04 | 3.9x | 416 | 50% |
| 볼린저 밴드 돌파 n=33, k=1.7 |
2.8% | -52.1% | 0.24 | 0.05 | 3.0x | 294 | 37% |
| MACD fast=18, slow=24, signal=14 |
2.7% | -76.1% | 0.23 | 0.04 | 3.0x | 546 | 50% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=2.2 |
1.4% | -71.7% | 0.17 | 0.02 | 1.8x | 238 | 33% |
| ROC 모멘텀 n=149, threshold=-0.01 |
1.1% | -83.0% | 0.16 | 0.01 | 1.6x | 339 | 59% |
| ADX / DI 방향성 period=23, threshold=26 |
1.2% | -53.3% | 0.16 | 0.02 | 1.6x | 128 | 16% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-0.3% | -81.4% | 0.09 | -0.00 | 0.9x | 510 | 51% |
| Buy and hold | 7.9% | -69.7% | 0.40 | 0.11 | 22.1x | 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 37-day average price crosses above the 260-day average
- Sell — Sell (to cash) when the 37-day average falls below the 260-day average