Trend-Following Backtester · Guide · backtest 한국어
equity · US
Accel Entertainment, Inc. backtest
10 trend-following strategies were compared on the full daily history of Accel Entertainment, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.9%, MDD -8.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.9%, drawdown -57.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.9%, MDD -8.1%, Sharpe 0.33, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 1.9%, MDD -8.1%, exposure 0%).
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=1, threshold=0.14 |
1.9% | -8.1% | 0.33 | 0.23 | 1.2x | 8 | 0% |
| ADX / DI 방향성 period=39, threshold=29 |
0.7% | -5.2% | 0.29 | 0.13 | 1.1x | 2 | 2% |
| Donchian 채널 돌파 entryN=5, exitN=74 |
-1.0% | -57.6% | 0.14 | -0.02 | 0.9x | 28 | 95% |
| SMA 크로스오버 fast=49, slow=113 |
-3.0% | -57.8% | 0.04 | -0.05 | 0.8x | 22 | 57% |
| Supertrend period=22, mult=2 |
-4.8% | -67.6% | -0.06 | -0.07 | 0.6x | 112 | 49% |
| MACD fast=24, slow=28, signal=18 |
-5.2% | -59.6% | -0.08 | -0.09 | 0.6x | 104 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-6.8% | -63.1% | -0.17 | -0.11 | 0.5x | 160 | 53% |
| EMA 크로스오버 fast=29, slow=38 |
-7.7% | -63.6% | -0.17 | -0.12 | 0.5x | 42 | 56% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
-2.2% | -29.1% | -0.29 | -0.08 | 0.8x | 12 | 7% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=1.8 |
-7.1% | -52.9% | -0.43 | -0.13 | 0.5x | 70 | 18% |
| Buy and hold | 0.9% | -57.8% | 0.21 | 0.02 | 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 1-day return is greater than 14%
- Sell — Sell when the 1-day return drops to 14% or below