Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sonic Automotive, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sonic Automotive, Inc.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.8%, MDD -39.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.5%, drawdown -97.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -39.3%, Sharpe 0.49, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.0%, MDD -71.4%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 58.3%p (CAGR 7.8%, MDD -39.3%, exposure 14%).
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=72, k=3 |
7.8% | -39.3% | 0.49 | 0.20 | 8.7x | 30 | 14% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=3.9 |
4.8% | -30.9% | 0.48 | 0.15 | 3.8x | 16 | 3% |
| Donchian 채널 돌파 entryN=32, exitN=37 |
11.0% | -71.4% | 0.47 | 0.15 | 20.3x | 92 | 57% |
| Supertrend period=16, mult=4.9 |
10.3% | -77.6% | 0.46 | 0.13 | 16.7x | 94 | 52% |
| SMA 크로스오버 fast=11, slow=76 |
9.5% | -77.3% | 0.44 | 0.12 | 13.5x | 146 | 52% |
| EMA 크로스오버 fast=16, slow=66 |
9.1% | -74.3% | 0.43 | 0.12 | 12.3x | 132 | 53% |
| MACD fast=19, slow=22, signal=15 |
10.0% | -89.7% | 0.43 | 0.11 | 15.8x | 384 | 51% |
| ROC 모멘텀 n=48, threshold=0.16 |
6.3% | -69.9% | 0.37 | 0.09 | 5.8x | 280 | 21% |
| ADX / DI 방향성 period=10, threshold=38 |
4.2% | -44.6% | 0.33 | 0.09 | 3.3x | 136 | 10% |
| Parabolic SAR step=0.015, maxStep=0.28 |
4.9% | -77.5% | 0.32 | 0.06 | 4.0x | 509 | 53% |
| Buy and hold | 9.5% | -97.5% | 0.44 | 0.10 | 13.5x | 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 72-day average (3× volatility)
- Sell — Sell when the close falls back to the 72-day middle average