Trend-Following Backtester · Guide · backtest 한국어
equity · US
Acco Brands Corporation backtest
10 trend-following strategies were compared on the full daily history of Acco Brands Corporation. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -12.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.1%, drawdown -97.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -12.3%, Sharpe 0.46, 4% exposure.
CAGR reference leader: Parabolic SAR — CAGR 5.4%, MDD -82.4%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 85.3%p (CAGR 3.1%, MDD -12.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=12, threshold=44 |
3.1% | -12.3% | 0.46 | 0.25 | 1.9x | 42 | 4% |
| Parabolic SAR step=0.005, maxStep=0.18 |
5.4% | -82.4% | 0.32 | 0.07 | 3.0x | 179 | 49% |
| MACD fast=18, slow=46, signal=13 |
4.9% | -78.8% | 0.31 | 0.06 | 2.8x | 250 | 49% |
| Donchian 채널 돌파 entryN=17, exitN=143 |
2.8% | -86.5% | 0.30 | 0.03 | 1.8x | 41 | 85% |
| Supertrend period=19, mult=2.4 |
2.0% | -73.0% | 0.23 | 0.03 | 1.5x | 183 | 46% |
| 볼린저 밴드 돌파 n=26, k=2.8 |
2.4% | -62.2% | 0.21 | 0.04 | 1.7x | 56 | 12% |
| ROC 모멘텀 n=101, threshold=0.14 |
1.2% | -80.1% | 0.17 | 0.02 | 1.3x | 174 | 23% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=11, mult=3.3 |
1.3% | -41.6% | 0.16 | 0.03 | 1.3x | 48 | 16% |
| SMA 크로스오버 fast=78, slow=177 |
0.3% | -69.9% | 0.15 | 0.00 | 1.1x | 37 | 41% |
| EMA 크로스오버 fast=51, slow=77 |
-4.7% | -88.4% | -0.05 | -0.05 | 0.4x | 59 | 41% |
| Buy and hold | -8.1% | -97.6% | 0.14 | -0.08 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 12-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)