Trend-Following Backtester · Guide · backtest 한국어
equity · US
Copart, Inc. backtest
10 trend-following strategies were compared on the full daily history of Copart, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.4%, MDD -48.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -72.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.7%, MDD -53.0%, Sharpe 0.59, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 19.5%p (CAGR 14.4%, MDD -48.8%, exposure 73%).
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=56, slow=252 |
14.7% | -53.0% | 0.59 | 0.28 | 85.8x | 26 | 77% |
| SMA 크로스오버 fast=44, slow=258 |
14.4% | -48.8% | 0.59 | 0.29 | 77.0x | 34 | 73% |
| Donchian 채널 돌파 entryN=60, exitN=65 |
12.1% | -53.4% | 0.54 | 0.23 | 40.3x | 60 | 67% |
| ROC 모멘텀 n=96, threshold=-0.08 |
10.8% | -66.9% | 0.49 | 0.16 | 27.5x | 178 | 80% |
| Supertrend period=20, mult=3 |
5.0% | -68.9% | 0.32 | 0.07 | 4.9x | 221 | 59% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=14, mult=1.9 |
4.3% | -60.2% | 0.30 | 0.07 | 3.9x | 174 | 49% |
| ADX / DI 방향성 period=32, threshold=26 |
2.6% | -34.8% | 0.30 | 0.07 | 2.3x | 34 | 10% |
| Parabolic SAR step=0.01, maxStep=0.16 |
3.9% | -64.5% | 0.28 | 0.06 | 3.5x | 443 | 55% |
| 볼린저 밴드 돌파 n=25, k=2.2 |
2.3% | -49.9% | 0.21 | 0.05 | 2.1x | 236 | 34% |
| MACD fast=17, slow=45, signal=22 |
-0.5% | -59.4% | 0.11 | -0.01 | 0.9x | 353 | 51% |
| Buy and hold | 17.6% | -72.5% | 0.62 | 0.24 | 190.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 252-day EMA
- Sell — Sell when the 56-day EMA falls below the 252-day EMA