Trend-Following Backtester · Guide · backtest 한국어
equity · US
Accenture plc backtest
10 trend-following strategies were compared on the full daily history of Accenture plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -45.7%, Sharpe 0.45, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.3%, MDD -68.3%, exposure 87%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=268 |
7.5% | -45.7% | 0.45 | 0.16 | 6.2x | 24 | 70% |
| EMA 크로스오버 fast=31, slow=205 |
7.1% | -35.5% | 0.45 | 0.20 | 5.7x | 36 | 70% |
| Donchian 채널 돌파 entryN=12, exitN=73 |
8.3% | -68.3% | 0.44 | 0.12 | 7.4x | 59 | 87% |
| ROC 모멘텀 n=49, threshold=-0.1 |
6.4% | -59.5% | 0.37 | 0.11 | 4.7x | 163 | 87% |
| Supertrend period=17, mult=4.7 |
4.6% | -40.2% | 0.33 | 0.11 | 3.1x | 89 | 55% |
| 볼린저 밴드 돌파 n=15, k=2.8 |
1.6% | -31.6% | 0.24 | 0.05 | 1.5x | 50 | 8% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=18, mult=3.5 |
1.0% | -19.7% | 0.22 | 0.05 | 1.3x | 14 | 3% |
| MACD fast=23, slow=35, signal=9 |
0.2% | -72.1% | 0.11 | 0.00 | 1.0x | 359 | 53% |
| ADX / DI 방향성 period=35, threshold=19 |
0.3% | -49.0% | 0.08 | 0.01 | 1.1x | 78 | 16% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.6% | -74.0% | -0.02 | -0.03 | 0.5x | 351 | 58% |
| Buy and hold | 10.6% | -70.0% | 0.48 | 0.15 | 12.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 268-day average
- Sell — Sell (to cash) when the 42-day average falls below the 268-day average