Trend-Following Backtester · Guide · backtest 한국어
equity · US
CarGurus, Inc. backtest
10 trend-following strategies were compared on the full daily history of CarGurus, Inc.. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -34.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.1%, drawdown -78.7%).
Sharpe leader (same as main): MACD — CAGR 17.1%, MDD -42.3%, Sharpe 0.62, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 4.9%, MDD -34.5%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=33, signal=19 |
17.1% | -42.3% | 0.62 | 0.41 | 4.0x | 83 | 52% |
| Supertrend period=24, mult=3.7 |
9.0% | -37.9% | 0.42 | 0.24 | 2.1x | 39 | 51% |
| SMA 크로스오버 fast=10, slow=31 |
5.8% | -49.9% | 0.33 | 0.12 | 1.6x | 81 | 55% |
| 볼린저 밴드 돌파 n=49, k=1.6 |
4.9% | -34.5% | 0.31 | 0.14 | 1.5x | 45 | 42% |
| Donchian 채널 돌파 entryN=5, exitN=94 |
2.2% | -76.0% | 0.28 | 0.03 | 1.2x | 25 | 91% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=16, mult=2.2 |
2.0% | -25.9% | 0.21 | 0.08 | 1.2x | 26 | 9% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.5% | -51.6% | 0.21 | 0.03 | 1.1x | 75 | 53% |
| ROC 모멘텀 n=36, threshold=0.04 |
1.9% | -46.4% | 0.21 | 0.04 | 1.2x | 139 | 45% |
| ADX / DI 방향성 period=32, threshold=27 |
0.6% | -18.4% | 0.11 | 0.03 | 1.1x | 6 | 4% |
| EMA 크로스오버 fast=15, slow=48 |
-2.8% | -59.7% | 0.08 | -0.05 | 0.8x | 51 | 55% |
| Buy and hold | 3.1% | -78.7% | 0.31 | 0.04 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (22/33) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line