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 17.7%, drawdown -54.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.0%, MDD -38.0%, Sharpe 0.66, 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 |
13.0% | -38.0% | 0.66 | 0.34 | 7.4x | 17 | 79% |
| SMA 크로스오버 fast=38, slow=213 |
11.7% | -41.0% | 0.63 | 0.29 | 6.2x | 17 | 72% |
| EMA 크로스오버 fast=57, slow=129 |
11.6% | -39.3% | 0.63 | 0.29 | 6.0x | 21 | 74% |
| ROC 모멘텀 n=91, threshold=-0.07 |
11.0% | -43.2% | 0.58 | 0.25 | 5.5x | 109 | 82% |
| Supertrend period=19, mult=5 |
7.2% | -27.7% | 0.46 | 0.26 | 3.1x | 54 | 55% |
| Parabolic SAR step=0.005, maxStep=0.08 |
7.3% | -36.1% | 0.45 | 0.20 | 3.2x | 146 | 58% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=1.4 |
4.3% | -30.2% | 0.34 | 0.14 | 2.0x | 114 | 50% |
| 볼린저 밴드 돌파 n=55, k=1 |
4.3% | -35.4% | 0.33 | 0.12 | 2.0x | 112 | 50% |
| MACD fast=19, slow=35, signal=17 |
3.8% | -38.8% | 0.29 | 0.10 | 1.8x | 196 | 52% |
| ADX / DI 방향성 period=16, threshold=38 |
-0.1% | -15.1% | 0.01 | -0.01 | 1.0x | 26 | 5% |
| Buy and hold | 17.7% | -54.6% | 0.72 | 0.32 | 14.6x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 94 days