Trend-Following Backtester · Guide · backtest 한국어
equity · US
ACV Auctions Inc. backtest
10 trend-following strategies were compared on the full daily history of ACV Auctions Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -12.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.1%, drawdown -88.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -20.4%, Sharpe 0.49, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 68.4%p (CAGR 0.5%, MDD -12.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=85, exitN=9 |
7.9% | -20.4% | 0.49 | 0.39 | 1.5x | 12 | 13% |
| 볼린저 밴드 돌파 n=42, k=2.6 |
7.2% | -26.2% | 0.42 | 0.27 | 1.5x | 10 | 17% |
| EMA 크로스오버 fast=43, slow=106 |
6.2% | -34.8% | 0.35 | 0.18 | 1.4x | 5 | 34% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=29, mult=2.8 |
5.4% | -30.0% | 0.35 | 0.18 | 1.3x | 9 | 19% |
| SMA 크로스오버 fast=25, slow=178 |
6.2% | -37.7% | 0.35 | 0.17 | 1.4x | 5 | 35% |
| ROC 모멘텀 n=168, threshold=-0.08 |
6.0% | -39.0% | 0.34 | 0.15 | 1.4x | 18 | 40% |
| Supertrend period=13, mult=3.2 |
2.2% | -53.9% | 0.24 | 0.04 | 1.1x | 25 | 49% |
| ADX / DI 방향성 period=33, threshold=28 |
0.5% | -12.8% | 0.10 | 0.04 | 1.0x | 2 | 4% |
| MACD fast=21, slow=36, signal=20 |
-5.7% | -63.2% | 0.08 | -0.09 | 0.7x | 48 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-11.1% | -70.0% | -0.11 | -0.16 | 0.5x | 45 | 51% |
| Buy and hold | -24.1% | -88.8% | -0.15 | -0.27 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 85 days
- Sell — Sell when price breaks below the lowest low of the last 9 days