Trend-Following Backtester · Guide · backtest 한국어
equity · US
Primerica, Inc. backtest
10 trend-following strategies were compared on the full daily history of Primerica, 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 18.6%, drawdown -54.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.8%, MDD -38.0%, Sharpe 0.69, 79% 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=51, exitN=94 |
13.8% | -38.0% | 0.69 | 0.36 | 8.3x | 17 | 79% |
| SMA 크로스오버 fast=38, slow=213 |
12.5% | -41.0% | 0.67 | 0.31 | 6.9x | 17 | 72% |
| EMA 크로스오버 fast=57, slow=129 |
12.4% | -39.3% | 0.66 | 0.31 | 6.7x | 21 | 74% |
| ROC 모멘텀 n=91, threshold=-0.07 |
11.8% | -43.2% | 0.61 | 0.27 | 6.2x | 109 | 82% |
| Supertrend period=19, mult=5 |
7.9% | -27.7% | 0.50 | 0.29 | 3.5x | 53 | 55% |
| Parabolic SAR step=0.005, maxStep=0.08 |
7.5% | -36.1% | 0.46 | 0.21 | 3.2x | 145 | 58% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=1.4 |
4.8% | -30.2% | 0.36 | 0.16 | 2.1x | 113 | 50% |
| 볼린저 밴드 돌파 n=55, k=1 |
4.8% | -35.4% | 0.36 | 0.14 | 2.2x | 111 | 50% |
| MACD fast=19, slow=35, signal=17 |
4.0% | -38.8% | 0.30 | 0.10 | 1.9x | 195 | 52% |
| ADX / DI 방향성 period=16, threshold=38 |
0.0% | -15.1% | 0.04 | 0.00 | 1.0x | 25 | 5% |
| Buy and hold | 18.6% | -54.6% | 0.74 | 0.34 | 16.2x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 94 days