Trend-Following Backtester · Guide · backtest 한국어
equity · US
Acacia Research Corporation backtest
10 trend-following strategies were compared on the full daily history of Acacia Research Corporation. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.1%, MDD -31.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.7%, drawdown -95.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -75.0%, Sharpe 0.52, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 9.1%, MDD -31.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=113 |
14.2% | -75.0% | 0.52 | 0.19 | 22.9x | 56 | 51% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
9.1% | -31.8% | 0.48 | 0.29 | 7.8x | 22 | 9% |
| ADX / DI 방향성 period=35, threshold=20 |
8.9% | -44.2% | 0.47 | 0.20 | 7.6x | 30 | 11% |
| ROC 모멘텀 n=178, threshold=0.11 |
11.1% | -66.5% | 0.47 | 0.17 | 12.1x | 125 | 39% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=3.9 |
8.3% | -51.1% | 0.43 | 0.16 | 6.5x | 32 | 14% |
| EMA 크로스오버 fast=18, slow=148 |
9.1% | -79.3% | 0.41 | 0.12 | 7.9x | 55 | 46% |
| Donchian 채널 돌파 entryN=109, exitN=24 |
6.2% | -67.5% | 0.34 | 0.09 | 4.2x | 48 | 23% |
| Supertrend period=28, mult=3 |
1.7% | -90.4% | 0.25 | 0.02 | 1.5x | 138 | 48% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.3% | -93.5% | 0.23 | 0.01 | 1.4x | 188 | 48% |
| MACD fast=17, slow=54, signal=16 |
-4.9% | -93.9% | 0.09 | -0.05 | 0.3x | 271 | 52% |
| Buy and hold | 3.7% | -95.7% | 0.35 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 32-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 32-day average falls below the 113-day average