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. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.0%, MDD -44.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.3%, drawdown -57.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.7%, MDD -55.1%, Sharpe 0.26, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 2.7%p (CAGR 2.0%, MDD -44.1%, exposure 95%).
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 Hold-like · Exposure 99% n=1, threshold=-0.09 |
2.7% | -55.1% | 0.26 | 0.05 | 1.3x | 21 | 99% |
| Donchian 채널 돌파 entryN=7, exitN=145 |
2.0% | -44.1% | 0.23 | 0.04 | 1.2x | 15 | 95% |
| ADX / DI 방향성 period=26, threshold=30 |
0.5% | -5.4% | 0.19 | 0.09 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=57, slow=99 |
-3.7% | -57.8% | 0.02 | -0.06 | 0.7x | 23 | 56% |
| Supertrend period=29, mult=2 |
-4.0% | -66.0% | -0.02 | -0.06 | 0.7x | 110 | 49% |
| MACD fast=18, slow=27, signal=19 |
-6.2% | -62.0% | -0.11 | -0.10 | 0.6x | 114 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-6.8% | -62.9% | -0.16 | -0.11 | 0.5x | 159 | 54% |
| EMA 크로스오버 fast=18, slow=59 |
-8.8% | -67.0% | -0.22 | -0.13 | 0.4x | 45 | 57% |
| 볼린저 밴드 돌파 n=44, k=3.4 |
-2.3% | -29.1% | -0.29 | -0.08 | 0.8x | 12 | 7% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=3.5 |
-7.0% | -48.4% | -0.61 | -0.15 | 0.5x | 30 | 10% |
| Buy and hold | 2.3% | -57.8% | 0.25 | 0.04 | 1.2x | 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 -9%
- Sell — Sell when the 1-day return drops to -9% or below