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 67.4%, MDD -46.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 43.3%, drawdown -99.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 92.2%, MDD -64.2%, Sharpe 1.19, 81% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 48.9%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 67.4%, 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 |
92.2% | -64.2% | 1.19 | 1.44 | 422.3x | 32 | 81% |
| ADX / DI 방향성 period=38, threshold=11 |
74.8% | -62.8% | 1.15 | 1.19 | 175.9x | 54 | 59% |
| 볼린저 밴드 돌파 n=21, k=2 |
63.5% | -48.2% | 1.13 | 1.32 | 94.7x | 68 | 35% |
| ROC 모멘텀 n=137, threshold=0.02 |
71.0% | -61.2% | 1.13 | 1.16 | 143.5x | 36 | 69% |
| EMA 크로스오버 fast=6, slow=101 |
67.4% | -46.1% | 1.13 | 1.46 | 117.7x | 30 | 62% |
| Supertrend period=20, mult=4.1 |
65.3% | -57.9% | 1.09 | 1.13 | 105.1x | 38 | 56% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=1.5 |
62.1% | -48.2% | 1.09 | 1.29 | 87.6x | 78 | 40% |
| SMA 크로스오버 fast=4, slow=134 |
62.9% | -57.9% | 1.08 | 1.08 | 91.4x | 30 | 63% |
| Parabolic SAR step=0.02, maxStep=0.32 |
67.1% | -87.7% | 1.06 | 0.77 | 116.2x | 196 | 53% |
| MACD fast=11, slow=47, signal=15 |
40.0% | -92.5% | 0.81 | 0.43 | 22.5x | 128 | 52% |
| Buy and hold | 43.3% | -99.0% | 0.84 | 0.44 | 27.9x | 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