Trend-Following Backtester · Guide · backtest 한국어
equity · US
Abacus Global Management, Inc. backtest
10 trend-following strategies were compared on the full daily history of Abacus Global Management, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -23.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.9%, drawdown -62.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.4%, MDD -24.7%, Sharpe 0.65, 19% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 1.9%, MDD -23.9%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=92, threshold=0.09 |
13.4% | -24.7% | 0.65 | 0.54 | 2.1x | 21 | 19% |
| MACD fast=10, slow=25, signal=18 |
13.3% | -53.4% | 0.56 | 0.25 | 2.1x | 102 | 52% |
| SMA 크로스오버 fast=8, slow=146 |
8.4% | -33.0% | 0.44 | 0.25 | 1.6x | 9 | 51% |
| EMA 크로스오버 fast=17, slow=126 |
8.3% | -27.3% | 0.43 | 0.30 | 1.6x | 11 | 50% |
| Donchian 채널 돌파 entryN=114, exitN=43 |
4.7% | -24.8% | 0.32 | 0.19 | 1.3x | 7 | 46% |
| Supertrend period=28, mult=1.9 |
3.3% | -45.6% | 0.25 | 0.07 | 1.2x | 54 | 47% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
1.9% | -23.9% | 0.21 | 0.08 | 1.1x | 15 | 21% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-3.2% | -62.4% | 0.06 | -0.05 | 0.8x | 132 | 52% |
| ADX / DI 방향성 period=17, threshold=13 |
-4.0% | -48.5% | 0.01 | -0.08 | 0.8x | 80 | 52% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=38, mult=1.4 |
-3.9% | -36.9% | -0.07 | -0.11 | 0.8x | 29 | 47% |
| Buy and hold | 0.9% | -62.8% | 0.25 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 92-day return is greater than 9%
- Sell — Sell when the 92-day return drops to 9% or below