Trend-Following Backtester · Guide · backtest 한국어
equity · US
Asbury Automotive Group Inc backtest
10 trend-following strategies were compared on the full daily history of Asbury Automotive Group Inc. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -93.3%).
Sharpe leader (same as main): Supertrend — CAGR 8.9%, MDD -75.9%, Sharpe 0.43, 57% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.4 |
8.9% | -75.9% | 0.43 | 0.12 | 8.1x | 86 | 57% |
| SMA 크로스오버 fast=10, slow=94 |
8.4% | -76.7% | 0.42 | 0.11 | 7.2x | 109 | 58% |
| Donchian 채널 돌파 entryN=90, exitN=50 |
7.9% | -70.7% | 0.41 | 0.11 | 6.4x | 45 | 48% |
| EMA 크로스오버 fast=40, slow=116 |
8.2% | -78.2% | 0.41 | 0.10 | 6.9x | 55 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=1.6 |
3.9% | -65.1% | 0.27 | 0.06 | 2.5x | 150 | 43% |
| ROC 모멘텀 n=82, threshold=-0.02 |
3.1% | -73.2% | 0.26 | 0.04 | 2.1x | 281 | 63% |
| MACD fast=24, slow=51, signal=22 |
1.1% | -57.8% | 0.21 | 0.02 | 1.3x | 232 | 51% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.7% | -75.7% | 0.19 | 0.01 | 1.2x | 228 | 55% |
| ADX / DI 방향성 period=35, threshold=21 |
1.7% | -35.8% | 0.19 | 0.05 | 1.5x | 36 | 10% |
| 볼린저 밴드 돌파 n=43, k=1.3 |
0.7% | -63.6% | 0.16 | 0.01 | 1.2x | 188 | 43% |
| Buy and hold | 11.2% | -93.3% | 0.46 | 0.12 | 13.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)