Trend-Following Backtester · Guide · backtest 한국어
equity · US
Markel Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Markel Group Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -44.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -44.7%, Sharpe 0.70, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 16.7%p (CAGR 12.9%, MDD -44.7%, exposure 76%).
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=36, slow=242 |
12.9% | -44.7% | 0.70 | 0.29 | 121.5x | 38 | 76% |
| EMA 크로스오버 fast=42, slow=219 |
11.2% | -47.1% | 0.62 | 0.24 | 68.0x | 36 | 79% |
| Supertrend period=7, mult=3.9 |
8.2% | -38.4% | 0.49 | 0.21 | 22.4x | 156 | 63% |
| ROC 모멘텀 n=149, threshold=-0.03 |
8.3% | -42.6% | 0.49 | 0.20 | 23.7x | 220 | 80% |
| Donchian 채널 돌파 entryN=31, exitN=71 |
9.0% | -66.3% | 0.49 | 0.14 | 30.6x | 77 | 81% |
| ADX / DI 방향성 period=39, threshold=35 |
1.1% | -7.5% | 0.34 | 0.14 | 1.5x | 8 | 2% |
| 볼린저 밴드 돌파 n=42, k=2.2 |
3.4% | -45.2% | 0.30 | 0.07 | 3.7x | 178 | 36% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.9% | -65.5% | 0.24 | 0.04 | 3.1x | 296 | 59% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=1.6 |
1.3% | -67.7% | 0.16 | 0.02 | 1.7x | 284 | 44% |
| MACD fast=29, slow=43, signal=18 |
-3.1% | -78.0% | -0.07 | -0.04 | 0.3x | 425 | 50% |
| Buy and hold | 14.1% | -61.3% | 0.61 | 0.23 | 187.3x | 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 36-day average price crosses above the 242-day average
- Sell — Sell (to cash) when the 36-day average falls below the 242-day average