Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ACOM Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of ACOM Co., Ltd.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -5.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.1%, drawdown -93.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -36.9%, Sharpe 0.22, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 0.2%, MDD -5.6%, exposure 0%).
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=43, k=3.5 |
2.0% | -36.9% | 0.22 | 0.05 | 1.7x | 16 | 5% |
| SMA 크로스오버 fast=48, slow=179 |
-0.1% | -68.2% | 0.14 | -0.00 | 1.0x | 42 | 49% |
| EMA 크로스오버 fast=57, slow=134 |
-0.2% | -66.9% | 0.14 | -0.00 | 1.0x | 41 | 49% |
| ADX / DI 방향성 period=32, threshold=39 |
0.2% | -5.6% | 0.12 | 0.03 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=153, threshold=-0.1 |
-1.4% | -75.0% | 0.12 | -0.02 | 0.7x | 181 | 68% |
| MACD fast=15, slow=34, signal=20 |
-3.2% | -86.6% | 0.04 | -0.04 | 0.4x | 299 | 51% |
| Donchian 채널 돌파 entryN=49, exitN=16 |
-1.6% | -63.0% | 0.03 | -0.03 | 0.7x | 98 | 28% |
| Supertrend period=8, mult=3.1 |
-5.4% | -92.3% | -0.05 | -0.06 | 0.2x | 197 | 53% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=2.4 |
-4.0% | -72.4% | -0.09 | -0.05 | 0.4x | 128 | 26% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-7.4% | -91.2% | -0.13 | -0.08 | 0.1x | 409 | 50% |
| Buy and hold | -2.1% | -93.0% | 0.15 | -0.02 | 0.6x | 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 43-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 43-day middle average