Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ACC Limited backtest
10 trend-following strategies were compared on the full daily history of ACC Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -44.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.9%, drawdown -69.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -44.8%, Sharpe 0.52, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 9.6%, MDD -44.8%, exposure 54%).
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=46, slow=48 |
9.6% | -44.8% | 0.52 | 0.21 | 9.1x | 62 | 54% |
| SMA 크로스오버 fast=7, slow=153 |
8.9% | -47.5% | 0.49 | 0.19 | 7.9x | 68 | 56% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=22, mult=2 |
4.1% | -17.5% | 0.44 | 0.24 | 2.7x | 84 | 11% |
| ROC 모멘텀 n=78, threshold=0.02 |
6.8% | -45.3% | 0.41 | 0.15 | 4.9x | 196 | 52% |
| Donchian 채널 돌파 entryN=17, exitN=51 |
6.8% | -53.2% | 0.38 | 0.13 | 4.9x | 72 | 75% |
| 볼린저 밴드 돌파 n=28, k=2.7 |
3.2% | -33.3% | 0.31 | 0.10 | 2.1x | 82 | 18% |
| Supertrend period=7, mult=3.4 |
4.3% | -58.4% | 0.30 | 0.07 | 2.8x | 118 | 51% |
| MACD fast=19, slow=35, signal=7 |
1.9% | -67.8% | 0.20 | 0.03 | 1.6x | 386 | 51% |
| ADX / DI 방향성 period=12, threshold=29 |
0.2% | -55.8% | 0.08 | 0.00 | 1.1x | 188 | 19% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-3.5% | -87.8% | -0.05 | -0.04 | 0.4x | 458 | 53% |
| Buy and hold | 8.9% | -69.2% | 0.43 | 0.13 | 7.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 48-day EMA
- Sell — Sell when the 46-day EMA falls below the 48-day EMA