Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lithia Motors, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lithia Motors, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.5%, MDD -48.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.7%, drawdown -95.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.8%, MDD -57.9%, Sharpe 0.64, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 12.5%, MDD -48.2%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=8, slow=77 |
16.8% | -57.9% | 0.64 | 0.29 | 99.3x | 135 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=30 |
14.3% | -57.4% | 0.59 | 0.25 | 52.3x | 93 | 48% |
| SMA 크로스오버 fast=10, slow=77 |
15.0% | -71.8% | 0.59 | 0.21 | 63.5x | 123 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=20, mult=1.5 |
12.5% | -48.2% | 0.54 | 0.26 | 33.0x | 191 | 45% |
| 볼린저 밴드 돌파 n=44, k=1.8 |
11.2% | -51.1% | 0.52 | 0.22 | 23.5x | 147 | 38% |
| Supertrend period=19, mult=4.5 |
12.7% | -67.0% | 0.50 | 0.19 | 34.4x | 119 | 53% |
| ROC 모멘텀 n=164, threshold=-0.07 |
11.2% | -58.6% | 0.48 | 0.19 | 23.2x | 153 | 66% |
| ADX / DI 방향성 period=29, threshold=10 |
6.1% | -85.7% | 0.34 | 0.07 | 5.7x | 359 | 49% |
| MACD fast=15, slow=57, signal=17 |
4.2% | -93.9% | 0.29 | 0.04 | 3.4x | 363 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.1% | -92.5% | 0.26 | 0.03 | 2.4x | 261 | 52% |
| Buy and hold | 12.7% | -95.7% | 0.47 | 0.13 | 34.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 77-day EMA
- Sell — Sell when the 8-day EMA falls below the 77-day EMA