Trend-Following Backtester · Guide · backtest 한국어
equity · US
W.R. Berkley Corporation backtest
10 trend-following strategies were compared on the full daily history of W.R. Berkley Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -76.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -71.2%, Sharpe 0.56, 97% 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 97% n=15, threshold=-0.14 |
12.9% | -71.2% | 0.56 | 0.18 | 607.7x | 137 | 97% |
| EMA 크로스오버 fast=23, slow=185 |
8.3% | -75.9% | 0.47 | 0.11 | 66.2x | 93 | 67% |
| SMA 크로스오버 fast=52, slow=184 |
8.1% | -60.0% | 0.46 | 0.14 | 61.6x | 65 | 66% |
| Donchian 채널 돌파 entryN=94, exitN=75 |
7.5% | -52.7% | 0.46 | 0.14 | 46.5x | 77 | 58% |
| MACD fast=19, slow=45, signal=21 |
6.5% | -61.4% | 0.39 | 0.10 | 27.2x | 520 | 50% |
| Parabolic SAR step=0.01, maxStep=0.38 |
6.2% | -77.3% | 0.37 | 0.08 | 23.6x | 658 | 52% |
| Supertrend period=28, mult=3.9 |
5.4% | -56.0% | 0.34 | 0.10 | 16.2x | 232 | 56% |
| ADX / DI 방향성 period=55, threshold=36 |
3.6% | -55.0% | 0.34 | 0.07 | 6.6x | 10 | 10% |
| 볼린저 밴드 돌파 n=33, k=1.4 |
4.5% | -58.5% | 0.32 | 0.08 | 10.3x | 440 | 43% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=1.9 |
2.7% | -53.6% | 0.24 | 0.05 | 4.0x | 312 | 38% |
| Buy and hold | 12.2% | -76.6% | 0.52 | 0.16 | 436.7x | 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 15-day return is greater than -14%
- Sell — Sell when the 15-day return drops to -14% or below