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 6.4%, MDD -36.2%).
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 6.4%, MDD -36.2%, Sharpe 0.42, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 61.4%p (CAGR 6.4%, MDD -36.2%, exposure 11%).
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=21, threshold=26 |
6.4% | -36.2% | 0.42 | 0.18 | 3.6x | 52 | 11% |
| ROC 모멘텀 n=101, threshold=0.19 |
6.2% | -58.5% | 0.36 | 0.11 | 3.5x | 104 | 18% |
| Parabolic SAR step=0.005, maxStep=0.44 |
5.5% | -82.4% | 0.32 | 0.07 | 3.1x | 179 | 49% |
| MACD fast=14, slow=45, signal=15 |
4.1% | -77.9% | 0.30 | 0.05 | 2.3x | 269 | 49% |
| Supertrend period=17, mult=2.4 |
3.3% | -70.3% | 0.27 | 0.05 | 2.0x | 181 | 46% |
| 볼린저 밴드 돌파 n=28, k=3 |
1.9% | -54.7% | 0.19 | 0.03 | 1.5x | 40 | 9% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=14, mult=3.3 |
1.5% | -41.3% | 0.17 | 0.04 | 1.4x | 50 | 18% |
| Donchian 채널 돌파 entryN=20, exitN=77 |
-6.9% | -92.8% | 0.09 | -0.07 | 0.2x | 71 | 75% |
| SMA 크로스오버 fast=40, slow=201 |
-2.4% | -78.9% | 0.04 | -0.03 | 0.6x | 33 | 41% |
| EMA 크로스오버 fast=49, slow=69 |
-5.4% | -89.7% | -0.07 | -0.06 | 0.3x | 63 | 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, 21-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)