Trend-Following Backtester · Guide · backtest 한국어
equity · US
Progressive Corporation (The) backtest
10 trend-following strategies were compared on the full daily history of Progressive Corporation (The). 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 19.4%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -58.8%, Sharpe 0.76, 83% 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=22, exitN=81 |
16.8% | -58.8% | 0.76 | 0.29 | 1339.6x | 89 | 83% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=3 |
5.6% | -17.3% | 0.69 | 0.33 | 12.7x | 122 | 11% |
| EMA 크로스오버 fast=50, slow=190 |
13.3% | -50.2% | 0.67 | 0.27 | 331.3x | 54 | 74% |
| Supertrend period=12, mult=4.9 |
11.6% | -48.9% | 0.67 | 0.24 | 162.6x | 178 | 58% |
| SMA 크로스오버 fast=13, slow=172 |
12.4% | -59.5% | 0.64 | 0.21 | 225.6x | 101 | 70% |
| ADX / DI 방향성 period=9, threshold=33 |
6.7% | -39.1% | 0.53 | 0.17 | 19.8x | 474 | 30% |
| Parabolic SAR step=0.005, maxStep=0.12 |
8.8% | -53.8% | 0.52 | 0.16 | 49.9x | 406 | 56% |
| MACD fast=16, slow=42, signal=19 |
8.2% | -48.0% | 0.51 | 0.17 | 39.0x | 510 | 51% |
| ROC 모멘텀 n=81, threshold=-0.04 |
9.0% | -75.1% | 0.49 | 0.12 | 54.5x | 423 | 75% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
6.8% | -57.1% | 0.47 | 0.12 | 21.1x | 272 | 47% |
| Buy and hold | 19.4% | -71.2% | 0.76 | 0.27 | 3670.6x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 81 days