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 56.6%, MDD -62.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 51.4%, drawdown -87.2%).
Sharpe leader (same as main): MACD — CAGR 64.0%, MDD -63.6%, Sharpe 1.10, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 56.6%, MDD -62.1%, exposure 39%).
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 |
64.0% | -63.6% | 1.10 | 1.01 | 78.7x | 119 | 53% |
| 볼린저 밴드 돌파 n=22, k=1.4 |
56.6% | -62.1% | 1.07 | 0.91 | 52.5x | 86 | 39% |
| Donchian 채널 돌파 entryN=14, exitN=63 |
45.3% | -70.9% | 0.87 | 0.64 | 27.0x | 25 | 83% |
| EMA 크로스오버 fast=58, slow=73 |
43.7% | -69.3% | 0.86 | 0.63 | 24.6x | 13 | 64% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=1.2 |
37.2% | -55.1% | 0.84 | 0.68 | 16.3x | 100 | 37% |
| ADX / DI 방향성 period=8, threshold=22 |
37.2% | -56.8% | 0.83 | 0.66 | 16.4x | 188 | 44% |
| SMA 크로스오버 fast=8, slow=27 |
38.8% | -75.7% | 0.83 | 0.51 | 18.0x | 90 | 54% |
| Parabolic SAR step=0.03, maxStep=0.32 |
36.5% | -66.3% | 0.81 | 0.55 | 15.6x | 228 | 52% |
| Supertrend period=36, mult=1.9 |
34.5% | -73.2% | 0.79 | 0.47 | 13.7x | 125 | 49% |
| ROC 모멘텀 n=123, threshold=0.04 |
33.5% | -70.4% | 0.76 | 0.48 | 12.8x | 73 | 59% |
| Buy and hold | 51.4% | -87.2% | 0.91 | 0.59 | 38.8x | 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