Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cars.com Inc. backtest
10 trend-following strategies were compared on the full daily history of Cars.com Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -13.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.1%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -60.4%, Sharpe 0.42, 76% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 0.7%, MDD -13.9%, exposure 1%).
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=10, exitN=38 |
9.7% | -60.4% | 0.42 | 0.16 | 2.3x | 43 | 76% |
| MACD fast=19, slow=37, signal=19 |
6.9% | -65.7% | 0.36 | 0.11 | 1.8x | 95 | 47% |
| Supertrend period=5, mult=3.9 |
3.9% | -46.0% | 0.28 | 0.08 | 1.4x | 43 | 47% |
| 볼린저 밴드 돌파 n=22, k=2.2 |
2.9% | -43.0% | 0.24 | 0.07 | 1.3x | 69 | 25% |
| SMA 크로스오버 fast=9, slow=83 |
1.9% | -59.9% | 0.23 | 0.03 | 1.2x | 41 | 50% |
| ROC 모멘텀 n=19, threshold=0.1 |
2.4% | -53.0% | 0.22 | 0.05 | 1.2x | 144 | 21% |
| ADX / DI 방향성 period=14, threshold=17 |
1.1% | -51.8% | 0.19 | 0.02 | 1.1x | 139 | 35% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3.2 |
0.7% | -13.9% | 0.15 | 0.05 | 1.1x | 4 | 1% |
| EMA 크로스오버 fast=10, slow=113 |
-2.3% | -67.5% | 0.08 | -0.03 | 0.8x | 37 | 44% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-9.0% | -80.3% | -0.04 | -0.11 | 0.4x | 163 | 49% |
| Buy and hold | -8.1% | -88.9% | 0.13 | -0.09 | 0.5x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 38 days