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.. 2 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 3.1%, MDD -71.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.1%, drawdown -93.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -82.9%, Sharpe 0.34, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 11.0%p (CAGR 3.1%, MDD -71.2%, exposure 29%).
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=107, exitN=89 |
5.9% | -82.9% | 0.34 | 0.07 | 6.2x | 37 | 51% |
| SMA 크로스오버 fast=44, slow=152 |
5.6% | -77.8% | 0.33 | 0.07 | 5.6x | 67 | 53% |
| ROC 모멘텀 n=140, threshold=-0.03 |
3.9% | -93.1% | 0.29 | 0.04 | 3.4x | 259 | 58% |
| EMA 크로스오버 fast=14, slow=145 |
3.5% | -91.5% | 0.27 | 0.04 | 2.9x | 95 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=15, mult=2.2 |
3.1% | -71.2% | 0.25 | 0.04 | 2.6x | 152 | 29% |
| MACD fast=11, slow=48, signal=19 |
2.1% | -83.0% | 0.24 | 0.03 | 1.9x | 426 | 50% |
| 볼린저 밴드 돌파 n=45, k=2.1 |
2.7% | -74.4% | 0.24 | 0.04 | 2.4x | 144 | 30% |
| Supertrend period=8, mult=4.2 |
-0.2% | -92.3% | 0.18 | -0.00 | 0.9x | 136 | 50% |
| ADX / DI 방향성 period=18, threshold=20 |
-0.1% | -88.1% | 0.13 | -0.00 | 1.0x | 294 | 26% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-5.0% | -91.8% | 0.05 | -0.05 | 0.2x | 532 | 48% |
| Buy and hold | 4.1% | -93.9% | 0.35 | 0.04 | 3.6x | 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 107 days
- Sell — Sell when price breaks below the lowest low of the last 89 days