Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carvana Co. backtest
10 trend-following strategies were compared on the full daily history of Carvana Co.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 66.3%, MDD -46.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 45.4%, drawdown -99.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 92.1%, MDD -64.2%, Sharpe 1.19, 81% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 46.7%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 66.3%, MDD -46.1%, exposure 62%).
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=9, exitN=39 |
92.1% | -64.2% | 1.19 | 1.43 | 444.2x | 33 | 81% |
| ADX / DI 방향성 period=38, threshold=11 |
73.9% | -62.8% | 1.15 | 1.18 | 175.9x | 54 | 58% |
| ROC 모멘텀 n=137, threshold=0.02 |
70.2% | -61.2% | 1.12 | 1.15 | 143.5x | 36 | 68% |
| EMA 크로스오버 fast=6, slow=101 |
66.3% | -46.1% | 1.12 | 1.44 | 116.0x | 31 | 62% |
| 볼린저 밴드 돌파 n=21, k=2 |
60.3% | -48.2% | 1.10 | 1.25 | 82.2x | 70 | 34% |
| SMA 크로스오버 fast=4, slow=134 |
62.7% | -57.9% | 1.08 | 1.08 | 94.3x | 31 | 63% |
| Supertrend period=20, mult=4.1 |
64.0% | -57.9% | 1.08 | 1.10 | 101.4x | 39 | 56% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=1.5 |
59.0% | -49.1% | 1.06 | 1.20 | 76.0x | 80 | 40% |
| Parabolic SAR step=0.02, maxStep=0.32 |
64.7% | -87.7% | 1.04 | 0.74 | 106.0x | 199 | 53% |
| MACD fast=11, slow=47, signal=15 |
40.6% | -92.5% | 0.82 | 0.44 | 24.2x | 129 | 53% |
| Buy and hold | 45.4% | -99.0% | 0.86 | 0.46 | 32.9x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 39 days