Trend-Following Backtester · Guide · backtest 한국어
equity · US
Penske Automotive Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Penske Automotive Group, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -54.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -83.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -54.0%, Sharpe 0.37, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 29.4%p (CAGR 7.0%, MDD -54.0%, exposure 62%).
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=13, slow=181 |
7.0% | -54.0% | 0.37 | 0.13 | 7.5x | 79 | 62% |
| ROC 모멘텀 n=117, threshold=-0.13 |
6.9% | -76.8% | 0.37 | 0.09 | 7.4x | 167 | 78% |
| SMA 크로스오버 fast=26, slow=112 |
6.2% | -52.1% | 0.35 | 0.12 | 5.9x | 89 | 58% |
| Donchian 채널 돌파 entryN=80, exitN=55 |
5.5% | -45.7% | 0.33 | 0.12 | 4.9x | 61 | 51% |
| Supertrend period=6, mult=4.8 |
5.1% | -65.9% | 0.31 | 0.08 | 4.4x | 119 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=3.2 |
2.7% | -52.2% | 0.23 | 0.05 | 2.2x | 97 | 29% |
| ADX / DI 방향성 period=34, threshold=30 |
0.8% | -10.2% | 0.22 | 0.08 | 1.3x | 6 | 1% |
| MACD fast=16, slow=25, signal=10 |
1.9% | -79.0% | 0.22 | 0.02 | 1.7x | 501 | 49% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-1.6% | -82.1% | 0.10 | -0.02 | 0.6x | 397 | 52% |
| 볼린저 밴드 돌파 n=25, k=1.1 |
-2.4% | -79.2% | 0.05 | -0.03 | 0.5x | 387 | 44% |
| Buy and hold | 8.8% | -83.4% | 0.41 | 0.11 | 12.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 181-day EMA
- Sell — Sell when the 13-day EMA falls below the 181-day EMA