Trend-Following Backtester · Guide · backtest 한국어
equity · US
Acadia Healthcare Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Acadia Healthcare Company, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -45.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.6%, drawdown -98.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -72.4%, Sharpe 0.34, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 3.7%, MDD -45.6%, exposure 9%).
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=24, slow=217 |
6.2% | -72.4% | 0.34 | 0.09 | 7.0x | 57 | 48% |
| Donchian 채널 돌파 entryN=13, exitN=61 |
2.7% | -95.9% | 0.33 | 0.03 | 2.4x | 121 | 78% |
| SMA 크로스오버 fast=23, slow=207 |
4.4% | -80.4% | 0.31 | 0.05 | 4.0x | 67 | 50% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
3.7% | -45.6% | 0.27 | 0.08 | 3.3x | 28 | 9% |
| Supertrend period=24, mult=4.9 |
1.4% | -97.1% | 0.25 | 0.01 | 1.6x | 76 | 52% |
| ADX / DI 방향성 period=35, threshold=16 |
0.5% | -76.5% | 0.20 | 0.01 | 1.2x | 138 | 28% |
| ROC 모멘텀 n=108, threshold=0.09 |
-2.5% | -96.6% | 0.13 | -0.03 | 0.4x | 283 | 41% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=9, mult=1.4 |
-2.6% | -90.4% | 0.12 | -0.03 | 0.4x | 212 | 39% |
| MACD fast=28, slow=59, signal=17 |
-7.4% | -97.3% | 0.12 | -0.08 | 0.1x | 305 | 50% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-12.7% | -99.3% | -0.01 | -0.13 | 0.0x | 718 | 51% |
| Buy and hold | 0.6% | -98.7% | 0.37 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 217-day EMA
- Sell — Sell when the 24-day EMA falls below the 217-day EMA