Trend-Following Backtester · Guide · backtest 한국어
equity · US
ACNB Corporation backtest
10 trend-following strategies were compared on the full daily history of ACNB Corporation. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.0%, MDD -34.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.5%, drawdown -70.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.6%, MDD -36.7%, Sharpe 0.31, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 4.0%, MDD -34.1%, exposure 53%).
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=48, slow=203 |
4.6% | -36.7% | 0.31 | 0.13 | 4.3x | 33 | 60% |
| Donchian 채널 돌파 entryN=85, exitN=70 |
4.0% | -34.1% | 0.29 | 0.12 | 3.5x | 47 | 53% |
| SMA 크로스오버 fast=36, slow=215 |
4.0% | -48.4% | 0.29 | 0.08 | 3.6x | 41 | 59% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.09 |
2.4% | -73.9% | 0.24 | 0.03 | 2.2x | 37 | 100% |
| Supertrend period=26, mult=4.9 |
0.8% | -65.3% | 0.15 | 0.01 | 1.3x | 71 | 57% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=15, mult=4 |
0.2% | -35.4% | 0.09 | 0.00 | 1.1x | 57 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.3% | -84.0% | 0.01 | -0.03 | 0.5x | 217 | 50% |
| ADX / DI 방향성 period=18, threshold=45 |
-0.1% | -12.8% | -0.00 | -0.01 | 1.0x | 10 | 1% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
-1.1% | -45.9% | -0.01 | -0.02 | 0.7x | 54 | 17% |
| MACD fast=18, slow=49, signal=18 |
-18.3% | -99.9% | -0.72 | -0.18 | 0.0x | 487 | 50% |
| Buy and hold | 3.5% | -70.8% | 0.27 | 0.05 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 203-day EMA
- Sell — Sell when the 48-day EMA falls below the 203-day EMA