Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Acomo N.V. backtest
10 trend-following strategies were compared on the full daily history of Acomo N.V.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -32.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -53.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -32.7%, Sharpe 0.55, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 21.2%p (CAGR 7.8%, MDD -32.7%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=71 |
7.8% | -32.7% | 0.55 | 0.24 | 7.4x | 36 | 49% |
| 볼린저 밴드 돌파 n=76, k=2.8 |
5.6% | -23.7% | 0.48 | 0.24 | 4.3x | 46 | 29% |
| SMA 크로스오버 fast=94, slow=153 |
7.4% | -50.6% | 0.48 | 0.15 | 6.7x | 44 | 61% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=29, mult=3.6 |
5.2% | -29.6% | 0.44 | 0.18 | 3.9x | 68 | 34% |
| EMA 크로스오버 fast=97, slow=399 |
6.4% | -52.1% | 0.42 | 0.12 | 5.2x | 17 | 70% |
| ROC 모멘텀 n=120, threshold=0.01 |
3.7% | -46.8% | 0.29 | 0.08 | 2.6x | 228 | 59% |
| Supertrend period=22, mult=4.3 |
3.3% | -62.4% | 0.27 | 0.05 | 2.4x | 128 | 62% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.9% | -44.7% | 0.19 | 0.04 | 1.6x | 187 | 57% |
| ADX / DI 방향성 period=36, threshold=18 |
0.8% | -22.8% | 0.13 | 0.04 | 1.2x | 88 | 20% |
| MACD fast=14, slow=59, signal=19 |
-1.8% | -56.9% | -0.04 | -0.03 | 0.6x | 297 | 51% |
| Buy and hold | 10.2% | -53.9% | 0.52 | 0.19 | 13.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 71 days