Trend-Following Backtester · Guide · backtest 한국어

equity · US

RenaissanceRe Holdings Ltd. backtest

10 trend-following strategies were compared on the full daily history of RenaissanceRe Holdings Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1995-07-27 ~ 2026-07-31daily bars 7,804 (31.0 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 13.0%, drawdown -46.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -52.3%, Sharpe 0.52, 75% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=107, exitN=178
9.2%-52.3%0.520.1815.1x1775%
EMA 크로스오버
fast=41, slow=186
7.2%-43.5%0.450.178.8x4570%
SMA 크로스오버
fast=29, slow=176
6.2%-43.7%0.400.146.5x5569%
ROC 모멘텀
n=128, threshold=-0.04
3.4%-66.6%0.260.052.8x25778%
볼린저 밴드 돌파
n=58, k=2.1
2.0%-59.0%0.210.031.9x12137%
ADX / DI 방향성
period=27, threshold=35
0.6%-17.2%0.150.041.2x182%
Keltner 채널 돌파
emaPeriod=41, atrPeriod=17, mult=4
1.0%-38.9%0.150.031.4x6015%
Supertrend
period=12, mult=3.7
-1.5%-66.5%0.01-0.020.6x18759%
Parabolic SAR
step=0.015, maxStep=0.18
-4.1%-87.0%-0.13-0.050.3x55755%
MACD
fast=7, slow=32, signal=11
-5.1%-89.8%-0.20-0.060.2x66850%
Buy and hold13.0%-46.6%0.600.2844.4x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -13% -26% -39% -52% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -52.3% (2007-10-02 → 2009-05-27), recovered after 1,995 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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