Trend-Following Backtester · Guide · backtest 한국어
equity · US
Covenant Logistics Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Covenant Logistics Group, Inc.. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.7%, MDD -57.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.8%, drawdown -93.9%).
Sharpe leader (same as main): MACD — CAGR 10.5%, MDD -72.7%, Sharpe 0.45, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 3.7%, MDD -57.9%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=31, slow=53, signal=22 |
10.5% | -72.7% | 0.45 | 0.14 | 24.4x | 234 | 49% |
| SMA 크로스오버 fast=38, slow=158 |
6.7% | -75.8% | 0.36 | 0.09 | 7.9x | 60 | 53% |
| Donchian 채널 돌파 entryN=55, exitN=80 |
6.0% | -73.4% | 0.34 | 0.08 | 6.4x | 56 | 59% |
| 볼린저 밴드 돌파 n=32, k=2.3 |
5.7% | -70.4% | 0.34 | 0.08 | 5.9x | 160 | 26% |
| ROC 모멘텀 n=148, threshold=-0.03 |
4.7% | -93.9% | 0.31 | 0.05 | 4.3x | 219 | 58% |
| EMA 크로스오버 fast=18, slow=130 |
4.0% | -93.1% | 0.29 | 0.04 | 3.4x | 88 | 53% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=2.7 |
3.7% | -57.9% | 0.27 | 0.06 | 3.2x | 114 | 23% |
| Supertrend period=19, mult=4.5 |
0.4% | -91.9% | 0.20 | 0.00 | 1.1x | 114 | 52% |
| ADX / DI 방향성 period=22, threshold=22 |
0.6% | -58.0% | 0.14 | 0.01 | 1.2x | 150 | 16% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-5.2% | -91.8% | 0.04 | -0.06 | 0.2x | 536 | 48% |
| Buy and hold | 3.8% | -93.9% | 0.34 | 0.04 | 3.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (31/53) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line