Trend-Following Backtester · Guide · backtest 한국어
equity · US
CoStar Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of CoStar Group, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.4%, MDD -55.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.0%, drawdown -72.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -55.4%, Sharpe 0.58, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 15.4%, MDD -55.4%, exposure 76%).
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=12, exitN=32 |
15.4% | -55.4% | 0.58 | 0.28 | 55.5x | 116 | 76% |
| Supertrend period=9, mult=3.8 |
12.8% | -59.1% | 0.53 | 0.22 | 29.2x | 124 | 59% |
| EMA 크로스오버 fast=20, slow=35 |
11.9% | -65.8% | 0.52 | 0.18 | 23.7x | 150 | 61% |
| ROC 모멘텀 n=32, threshold=-0.09 |
11.2% | -75.1% | 0.47 | 0.15 | 19.7x | 256 | 81% |
| SMA 크로스오버 fast=6, slow=54 |
9.3% | -73.4% | 0.44 | 0.13 | 12.1x | 204 | 59% |
| MACD fast=52, slow=85, signal=30 |
8.7% | -67.8% | 0.42 | 0.13 | 10.4x | 145 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=1.9 |
7.0% | -77.7% | 0.38 | 0.09 | 6.6x | 148 | 46% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
7.1% | -81.0% | 0.38 | 0.09 | 6.8x | 178 | 50% |
| ADX / DI 방향성 period=35, threshold=31 |
3.0% | -31.7% | 0.35 | 0.10 | 2.3x | 6 | 4% |
| Parabolic SAR step=0.015, maxStep=0.16 |
1.4% | -85.3% | 0.20 | 0.02 | 1.5x | 502 | 54% |
| Buy and hold | 13.0% | -72.8% | 0.50 | 0.18 | 31.2x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 32 days