Trend-Following Backtester · Guide · backtest 한국어
equity · IN
CarTrade Tech Ltd. backtest
10 trend-following strategies were compared on the full daily history of CarTrade Tech Ltd.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.1%, MDD -19.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.6%, drawdown -78.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 45.0%, MDD -33.7%, Sharpe 1.10, 72% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 30.4%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 18.1%, MDD -19.9%, exposure 24%).
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=49 |
45.0% | -33.7% | 1.10 | 1.34 | 6.5x | 9 | 72% |
| EMA 크로스오버 fast=14, slow=173 |
39.2% | -36.0% | 1.07 | 1.09 | 5.3x | 3 | 56% |
| SMA 크로스오버 fast=24, slow=102 |
34.8% | -29.0% | 1.00 | 1.20 | 4.5x | 11 | 59% |
| ROC 모멘텀 n=120, threshold=-0.03 |
33.8% | -35.1% | 0.96 | 0.96 | 4.3x | 13 | 60% |
| Supertrend period=26, mult=4.8 |
31.8% | -45.2% | 0.92 | 0.70 | 4.0x | 11 | 59% |
| MACD fast=5, slow=138, signal=7 |
27.9% | -30.1% | 0.88 | 0.92 | 3.4x | 95 | 48% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=3.4 |
20.2% | -24.7% | 0.79 | 0.82 | 2.5x | 11 | 28% |
| ADX / DI 방향성 period=28, threshold=26 |
18.1% | -19.9% | 0.78 | 0.91 | 2.3x | 9 | 24% |
| Parabolic SAR step=0.005, maxStep=0.02 |
18.7% | -41.5% | 0.64 | 0.45 | 2.4x | 25 | 54% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
15.3% | -27.0% | 0.63 | 0.57 | 2.1x | 15 | 31% |
| Buy and hold | 14.6% | -78.0% | 0.52 | 0.19 | 2.0x | 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 49 days