Trend-Following Backtester · Guide · backtest 한국어
equity · US
White Mountains Insurance Group, Ltd. backtest
10 trend-following strategies were compared on the full daily history of White Mountains Insurance Group, Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -78.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -38.0%, Sharpe 0.53, 67% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=182 |
8.2% | -38.0% | 0.53 | 0.22 | 25.3x | 58 | 67% |
| EMA 크로스오버 fast=59, slow=143 |
7.6% | -42.0% | 0.49 | 0.18 | 19.8x | 57 | 71% |
| Donchian 채널 돌파 entryN=108, exitN=73 |
6.7% | -49.2% | 0.46 | 0.14 | 13.9x | 58 | 59% |
| ROC 모멘텀 n=144, threshold=-0.05 |
7.3% | -44.7% | 0.46 | 0.16 | 17.4x | 227 | 78% |
| Supertrend period=8, mult=4.7 |
5.0% | -56.5% | 0.37 | 0.09 | 7.5x | 162 | 62% |
| ADX / DI 방향성 period=34, threshold=18 |
2.8% | -40.1% | 0.30 | 0.07 | 3.1x | 132 | 24% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=23, mult=2.8 |
2.8% | -45.0% | 0.27 | 0.06 | 3.1x | 186 | 35% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
2.1% | -45.0% | 0.26 | 0.05 | 2.4x | 54 | 14% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.9% | -85.2% | -0.07 | -0.03 | 0.3x | 686 | 55% |
| MACD fast=22, slow=32, signal=19 |
-3.9% | -86.8% | -0.12 | -0.04 | 0.2x | 489 | 51% |
| Buy and hold | 11.2% | -78.6% | 0.54 | 0.14 | 75.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 41-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 41-day average falls below the 182-day average