Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tesla backtest
10 trend-following strategies were compared on the full daily history of Tesla. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 35.8%, MDD -48.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 40.0%, drawdown -73.6%).
Sharpe leader (same as main): MACD — CAGR 35.8%, MDD -48.8%, Sharpe 0.97, 50% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 37.3%, MDD -60.6%, exposure 58%.
Return/drawdown alternative: MACD — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 24.8%p (CAGR 35.8%, MDD -48.8%, exposure 50%).
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=14, slow=52, signal=39 |
35.8% | -48.8% | 0.97 | 0.73 | 141.5x | 143 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=28, mult=1.3 |
27.8% | -39.3% | 0.94 | 0.71 | 52.9x | 167 | 28% |
| 볼린저 밴드 돌파 n=14, k=2.3 |
25.8% | -41.7% | 0.93 | 0.62 | 41.0x | 117 | 22% |
| SMA 크로스오버 fast=95, slow=159 |
37.3% | -60.6% | 0.92 | 0.62 | 168.2x | 28 | 58% |
| Donchian 채널 돌파 entryN=81, exitN=7 |
22.8% | -39.8% | 0.90 | 0.57 | 27.7x | 62 | 19% |
| Supertrend period=16, mult=4 |
26.8% | -61.6% | 0.82 | 0.44 | 46.8x | 76 | 47% |
| Parabolic SAR step=0.005, maxStep=0.34 |
27.6% | -47.4% | 0.81 | 0.58 | 51.8x | 128 | 51% |
| EMA 크로스오버 fast=14, slow=32 |
27.7% | -67.6% | 0.80 | 0.41 | 52.4x | 116 | 57% |
| ADX / DI 방향성 period=26, threshold=18 |
20.6% | -44.9% | 0.75 | 0.46 | 20.7x | 80 | 26% |
| ROC 모멘텀 n=19, threshold=0.14 |
18.1% | -39.2% | 0.71 | 0.46 | 14.7x | 258 | 21% |
| Buy and hold | 40.0% | -73.6% | 0.87 | 0.54 | 229.9x | 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 (14/52) crosses above its 39-day signal line
- Sell — Sell when the MACD line crosses back below the signal line