Trend-Following Backtester · Guide · backtest 한국어
equity · US
CoStar Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of CoStar Group, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.2%, MDD -55.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.4%, drawdown -72.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -55.4%, Sharpe 0.57, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 15.2%, MDD -55.4%, exposure 76%).
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=12, exitN=32 |
15.2% | -55.4% | 0.57 | 0.27 | 53.6x | 117 | 76% |
| Supertrend period=9, mult=3.8 |
12.6% | -59.1% | 0.53 | 0.21 | 28.1x | 125 | 59% |
| EMA 크로스오버 fast=20, slow=35 |
11.8% | -65.8% | 0.51 | 0.18 | 23.4x | 151 | 61% |
| ROC 모멘텀 n=32, threshold=-0.09 |
11.4% | -75.6% | 0.48 | 0.15 | 21.0x | 257 | 82% |
| SMA 크로스오버 fast=6, slow=54 |
9.4% | -73.4% | 0.44 | 0.13 | 12.7x | 205 | 59% |
| MACD fast=52, slow=85, signal=30 |
9.1% | -67.8% | 0.43 | 0.13 | 11.6x | 145 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=1.9 |
7.0% | -77.7% | 0.38 | 0.09 | 6.6x | 148 | 46% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
6.9% | -81.0% | 0.38 | 0.09 | 6.6x | 179 | 50% |
| ADX / DI 방향성 period=35, threshold=31 |
3.0% | -31.7% | 0.35 | 0.10 | 2.3x | 6 | 4% |
| Parabolic SAR step=0.015, maxStep=0.16 |
1.6% | -85.3% | 0.20 | 0.02 | 1.6x | 503 | 54% |
| Buy and hold | 13.4% | -72.8% | 0.50 | 0.18 | 34.7x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 32 days