Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Travelers Companies, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Travelers Companies, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -66.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -67.3%, Sharpe 0.39, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.12 |
6.8% | -67.3% | 0.39 | 0.10 | 28.4x | 33 | 100% |
| Donchian 채널 돌파 entryN=11, exitN=71 |
4.8% | -67.9% | 0.32 | 0.07 | 10.6x | 153 | 86% |
| Supertrend period=13, mult=4.8 |
2.4% | -59.0% | 0.22 | 0.04 | 3.3x | 207 | 58% |
| SMA 크로스오버 fast=39, slow=193 |
2.0% | -68.6% | 0.21 | 0.03 | 2.7x | 85 | 64% |
| EMA 크로스오버 fast=56, slow=256 |
1.9% | -68.0% | 0.20 | 0.03 | 2.7x | 59 | 70% |
| MACD fast=19, slow=53, signal=13 |
1.5% | -57.3% | 0.17 | 0.03 | 2.1x | 595 | 49% |
| Parabolic SAR step=0.005, maxStep=0.04 |
0.9% | -71.6% | 0.14 | 0.01 | 1.6x | 383 | 57% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
0.6% | -36.7% | 0.12 | 0.02 | 1.3x | 101 | 5% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=1.4 |
-1.4% | -70.9% | -0.02 | -0.02 | 0.5x | 441 | 46% |
| ADX / DI 방향성 period=26, threshold=15 |
-1.9% | -75.5% | -0.07 | -0.03 | 0.4x | 451 | 35% |
| Buy and hold | 7.7% | -66.2% | 0.41 | 0.12 | 42.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -12%
- Sell — Sell when the 4-day return drops to -12% or below