Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hanover Insurance Group Inc backtest
10 trend-following strategies were compared on the full daily history of Hanover Insurance Group Inc. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -60.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.5%, drawdown -90.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -63.3%, Sharpe 0.54, 84% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 8.6%, MDD -60.8%, exposure 65%).
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=14, exitN=61 |
11.3% | -63.3% | 0.54 | 0.18 | 27.6x | 81 | 84% |
| SMA 크로스오버 fast=23, slow=148 |
8.6% | -60.8% | 0.52 | 0.14 | 12.8x | 63 | 65% |
| EMA 크로스오버 fast=46, slow=98 |
7.2% | -60.8% | 0.46 | 0.12 | 8.5x | 57 | 65% |
| Supertrend period=20, mult=4.3 |
5.8% | -42.5% | 0.40 | 0.14 | 5.7x | 115 | 58% |
| ROC 모멘텀 n=114, threshold=-0.04 |
6.0% | -61.8% | 0.39 | 0.10 | 6.1x | 191 | 73% |
| 볼린저 밴드 돌파 n=77, k=3.1 |
2.8% | -49.9% | 0.32 | 0.06 | 2.3x | 29 | 14% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.6% | -35.1% | 0.28 | 0.10 | 2.9x | 165 | 60% |
| ADX / DI 방향성 period=27, threshold=39 |
0.5% | -6.0% | 0.25 | 0.08 | 1.2x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=21, mult=3.9 |
0.9% | -50.2% | 0.14 | 0.02 | 1.3x | 67 | 19% |
| MACD fast=19, slow=48, signal=24 |
0.1% | -67.9% | 0.11 | 0.00 | 1.0x | 298 | 51% |
| Buy and hold | 7.5% | -90.1% | 0.39 | 0.08 | 9.3x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 61 days