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.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=107, exitN=178 |
9.2% | -52.3% | 0.52 | 0.18 | 15.5x | 17 | 75% |
| EMA 크로스오버 fast=41, slow=186 |
7.3% | -43.5% | 0.45 | 0.17 | 9.0x | 45 | 70% |
| SMA 크로스오버 fast=29, slow=176 |
6.3% | -43.7% | 0.40 | 0.14 | 6.6x | 55 | 69% |
| ROC 모멘텀 n=128, threshold=-0.04 |
3.4% | -66.6% | 0.27 | 0.05 | 2.8x | 257 | 78% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
2.1% | -59.0% | 0.22 | 0.04 | 1.9x | 121 | 37% |
| ADX / DI 방향성 period=27, threshold=35 |
0.6% | -17.2% | 0.15 | 0.04 | 1.2x | 18 | 2% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=17, mult=4 |
1.0% | -38.9% | 0.15 | 0.03 | 1.4x | 60 | 15% |
| Supertrend period=12, mult=3.7 |
-1.4% | -66.5% | 0.02 | -0.02 | 0.6x | 187 | 59% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-4.2% | -87.0% | -0.14 | -0.05 | 0.3x | 559 | 54% |
| MACD fast=7, slow=32, signal=11 |
-5.1% | -89.8% | -0.21 | -0.06 | 0.2x | 669 | 49% |
| Buy and hold | 13.1% | -46.6% | 0.60 | 0.28 | 45.5x | 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 107 days
- Sell — Sell when price breaks below the lowest low of the last 178 days