Trend-Following Backtester · Guide · backtest 한국어
equity · AU
CAR Group Limited backtest
10 trend-following strategies were compared on the full daily history of CAR Group Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -48.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -39.4%, Sharpe 0.52, 82% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=54 |
10.1% | -39.4% | 0.52 | 0.26 | 5.1x | 45 | 82% |
| SMA 크로스오버 fast=31, slow=99 |
7.1% | -41.0% | 0.42 | 0.17 | 3.2x | 47 | 64% |
| EMA 크로스오버 fast=43, slow=103 |
5.0% | -42.2% | 0.33 | 0.12 | 2.3x | 39 | 64% |
| Supertrend period=19, mult=3.8 |
4.5% | -44.8% | 0.32 | 0.10 | 2.1x | 77 | 61% |
| ROC 모멘텀 n=73, threshold=-0.04 |
2.9% | -47.3% | 0.24 | 0.06 | 1.6x | 135 | 73% |
| ADX / DI 방향성 period=34, threshold=17 |
1.3% | -36.2% | 0.17 | 0.04 | 1.2x | 70 | 20% |
| 볼린저 밴드 돌파 n=17, k=2.1 |
-0.3% | -47.9% | 0.05 | -0.01 | 1.0x | 170 | 29% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=3.6 |
-0.2% | -32.7% | 0.01 | -0.01 | 1.0x | 22 | 7% |
| MACD fast=16, slow=55, signal=17 |
-2.8% | -57.6% | -0.05 | -0.05 | 0.6x | 213 | 51% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-4.4% | -71.4% | -0.12 | -0.06 | 0.5x | 315 | 56% |
| Buy and hold | 12.4% | -48.0% | 0.55 | 0.26 | 7.2x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 54 days