Trend-Following Backtester · Guide · backtest 한국어
equity · US
Credit Acceptance Corporation backtest
10 trend-following strategies were compared on the full daily history of Credit Acceptance Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.9%, drawdown -89.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -59.2%, Sharpe 0.45, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=177 |
10.0% | -59.2% | 0.45 | 0.17 | 25.7x | 59 | 59% |
| EMA 크로스오버 fast=43, slow=55 |
9.8% | -82.9% | 0.44 | 0.12 | 24.5x | 103 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=69 |
9.2% | -86.2% | 0.42 | 0.11 | 20.1x | 99 | 85% |
| Supertrend period=5, mult=4.9 |
8.4% | -76.4% | 0.40 | 0.11 | 15.9x | 102 | 61% |
| MACD fast=22, slow=57, signal=31 |
6.2% | -66.0% | 0.35 | 0.09 | 7.8x | 266 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=2.3 |
5.0% | -76.6% | 0.32 | 0.07 | 5.4x | 142 | 39% |
| ROC 모멘텀 n=106, threshold=0.01 |
2.1% | -85.4% | 0.23 | 0.02 | 2.1x | 413 | 59% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.4% | -86.1% | 0.22 | 0.02 | 1.6x | 264 | 54% |
| ADX / DI 방향성 period=42, threshold=23 |
1.7% | -48.4% | 0.20 | 0.04 | 1.8x | 40 | 10% |
| 볼린저 밴드 돌파 n=35, k=1.3 |
0.6% | -78.4% | 0.17 | 0.01 | 1.2x | 322 | 43% |
| Buy and hold | 16.9% | -89.6% | 0.56 | 0.19 | 209.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 50-day average falls below the 177-day average