Trend-Following Backtester · Guide · backtest 한국어
equity · US
CarMax Inc backtest
10 trend-following strategies were compared on the full daily history of CarMax Inc. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.7%, MDD -57.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.9%, drawdown -93.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.7%, MDD -60.4%, Sharpe 0.46, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 8.7%, MDD -57.1%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=0.8 |
9.7% | -60.4% | 0.46 | 0.16 | 15.2x | 207 | 46% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=26, mult=1.9 |
8.7% | -57.1% | 0.44 | 0.15 | 11.7x | 165 | 40% |
| Supertrend period=10, mult=2.7 |
9.5% | -60.2% | 0.44 | 0.16 | 14.7x | 229 | 52% |
| EMA 크로스오버 fast=28, slow=39 |
9.2% | -59.8% | 0.44 | 0.15 | 13.5x | 117 | 53% |
| ROC 모멘텀 n=140, threshold=0.14 |
8.4% | -69.7% | 0.44 | 0.12 | 10.7x | 203 | 36% |
| SMA 크로스오버 fast=8, slow=187 |
8.8% | -66.7% | 0.43 | 0.13 | 12.0x | 79 | 54% |
| Donchian 채널 돌파 entryN=11, exitN=27 |
9.5% | -82.3% | 0.43 | 0.12 | 14.6x | 169 | 70% |
| ADX / DI 방향성 period=29, threshold=23 |
5.1% | -40.4% | 0.39 | 0.13 | 4.3x | 54 | 15% |
| MACD fast=15, slow=62, signal=19 |
5.6% | -80.9% | 0.33 | 0.07 | 4.9x | 307 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.1% | -78.6% | 0.31 | 0.06 | 4.3x | 245 | 53% |
| Buy and hold | 5.9% | -93.2% | 0.36 | 0.06 | 5.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (0.8× volatility)
- Sell — Sell when the close falls back to the 50-day middle average