Trend-Following Backtester · Guide · backtest 한국어
equity · US
AutoNation, Inc. backtest
10 trend-following strategies were compared on the full daily history of AutoNation, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.1%, MDD -60.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -60.1%, Sharpe 0.47, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 30.0%p (CAGR 11.1%, MDD -60.1%, exposure 58%).
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=13, slow=278 |
11.1% | -60.1% | 0.47 | 0.18 | 45.2x | 72 | 58% |
| Supertrend period=14, mult=5 |
10.9% | -67.1% | 0.45 | 0.16 | 42.6x | 107 | 51% |
| EMA 크로스오버 fast=26, slow=198 |
10.4% | -62.3% | 0.45 | 0.17 | 36.3x | 73 | 59% |
| Donchian 채널 돌파 entryN=16, exitN=55 |
9.7% | -86.8% | 0.42 | 0.11 | 28.9x | 117 | 76% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
4.1% | -31.0% | 0.37 | 0.13 | 4.3x | 26 | 7% |
| Parabolic SAR step=0.015, maxStep=0.26 |
6.6% | -81.1% | 0.34 | 0.08 | 10.0x | 586 | 49% |
| ADX / DI 방향성 period=36, threshold=39 |
1.7% | -24.2% | 0.31 | 0.07 | 1.9x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=2.1 |
5.1% | -77.8% | 0.30 | 0.07 | 6.1x | 194 | 18% |
| ROC 모멘텀 n=93, threshold=-0.02 |
1.3% | -80.1% | 0.19 | 0.02 | 1.6x | 427 | 60% |
| MACD fast=12, slow=45, signal=18 |
-1.1% | -92.6% | 0.13 | -0.01 | 0.7x | 476 | 51% |
| Buy and hold | 12.0% | -90.2% | 0.46 | 0.13 | 61.6x | 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 13-day average price crosses above the 278-day average
- Sell — Sell (to cash) when the 13-day average falls below the 278-day average