Trend-Following Backtester · Guide · backtest 한국어
equity · US
AECOM backtest
10 trend-following strategies were compared on the full daily history of AECOM. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -60.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.1%, MDD -9.0%, Sharpe 0.39, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.2%, MDD -59.0%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=25, mult=3.5 |
2.1% | -9.0% | 0.39 | 0.23 | 1.5x | 14 | 3% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.12 |
6.2% | -59.0% | 0.35 | 0.11 | 3.2x | 55 | 99% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
1.6% | -14.3% | 0.29 | 0.11 | 1.4x | 18 | 4% |
| Donchian 채널 돌파 entryN=9, exitN=67 |
3.3% | -62.2% | 0.26 | 0.05 | 1.9x | 75 | 82% |
| Supertrend period=26, mult=3.3 |
1.9% | -48.3% | 0.20 | 0.04 | 1.4x | 118 | 54% |
| SMA 크로스오버 fast=23, slow=58 |
1.0% | -53.1% | 0.16 | 0.02 | 1.2x | 88 | 55% |
| EMA 크로스오버 fast=21, slow=53 |
0.8% | -57.5% | 0.15 | 0.01 | 1.2x | 88 | 56% |
| MACD fast=17, slow=56, signal=12 |
-0.2% | -56.4% | 0.11 | -0.00 | 1.0x | 248 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.3% | -69.6% | 0.07 | -0.02 | 0.8x | 184 | 54% |
| ADX / DI 방향성 period=39, threshold=12 |
-3.3% | -63.9% | -0.10 | -0.05 | 0.5x | 126 | 29% |
| Buy and hold | 6.2% | -60.0% | 0.35 | 0.10 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average