Trend-Following Backtester · Guide · backtest 한국어
equity · US
ACM Research, Inc. backtest
10 trend-following strategies were compared on the full daily history of ACM Research, Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 57.3%, MDD -62.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 53.3%, drawdown -87.2%).
Sharpe leader (same as main): MACD — CAGR 66.7%, MDD -63.6%, Sharpe 1.13, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 57.3%, MDD -62.1%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=25, signal=15 |
66.7% | -63.6% | 1.13 | 1.05 | 87.3x | 118 | 53% |
| 볼린저 밴드 돌파 n=22, k=1.4 |
57.3% | -62.1% | 1.08 | 0.92 | 52.5x | 86 | 40% |
| Donchian 채널 돌파 entryN=14, exitN=63 |
47.1% | -70.9% | 0.88 | 0.66 | 29.1x | 25 | 83% |
| EMA 크로스오버 fast=58, slow=73 |
45.5% | -69.3% | 0.88 | 0.66 | 26.5x | 13 | 64% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=1.2 |
37.7% | -55.1% | 0.85 | 0.68 | 16.3x | 100 | 38% |
| ADX / DI 방향성 period=8, threshold=22 |
37.7% | -56.8% | 0.83 | 0.66 | 16.4x | 188 | 45% |
| SMA 크로스오버 fast=8, slow=27 |
39.2% | -75.7% | 0.83 | 0.52 | 18.0x | 90 | 55% |
| Supertrend period=36, mult=1.9 |
37.2% | -73.2% | 0.82 | 0.51 | 15.9x | 124 | 49% |
| Parabolic SAR step=0.03, maxStep=0.32 |
37.1% | -66.3% | 0.81 | 0.56 | 15.7x | 226 | 52% |
| ROC 모멘텀 n=123, threshold=0.04 |
35.0% | -70.4% | 0.78 | 0.50 | 13.8x | 73 | 59% |
| Buy and hold | 53.3% | -87.2% | 0.92 | 0.61 | 41.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/25) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line