Trend-Following Backtester · Guide · backtest 한국어
equity · US
SiriusPoint Ltd. backtest
10 trend-following strategies were compared on the full daily history of SiriusPoint Ltd.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.8%, MDD -38.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.6%, drawdown -77.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -38.6%, Sharpe 0.48, 45% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 7.8%, MDD -38.6%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=43, slow=201 |
7.8% | -38.6% | 0.48 | 0.20 | 2.6x | 15 | 45% |
| ROC 모멘텀 n=244, threshold=0.06 |
7.1% | -38.6% | 0.46 | 0.18 | 2.4x | 29 | 41% |
| Donchian 채널 돌파 entryN=123, exitN=62 |
7.3% | -40.2% | 0.46 | 0.18 | 2.5x | 13 | 41% |
| SMA 크로스오버 fast=56, slow=132 |
7.6% | -60.7% | 0.44 | 0.13 | 2.6x | 19 | 50% |
| Supertrend period=16, mult=4.4 |
4.2% | -46.7% | 0.30 | 0.09 | 1.7x | 39 | 49% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
1.7% | -20.7% | 0.25 | 0.08 | 1.2x | 8 | 8% |
| Keltner 채널 돌파 emaPeriod=116, atrPeriod=7, mult=3.6 |
2.5% | -27.9% | 0.23 | 0.09 | 1.4x | 25 | 31% |
| ADX / DI 방향성 period=36, threshold=31 |
-0.2% | -12.8% | -0.02 | -0.01 | 1.0x | 4 | 1% |
| MACD fast=14, slow=59, signal=17 |
-3.9% | -74.4% | -0.07 | -0.05 | 0.6x | 147 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-7.3% | -81.4% | -0.24 | -0.09 | 0.4x | 118 | 52% |
| Buy and hold | 4.6% | -77.8% | 0.30 | 0.06 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 201-day EMA
- Sell — Sell when the 43-day EMA falls below the 201-day EMA