Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ameresco, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ameresco, Inc.. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.7%, MDD -47.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.9%, drawdown -91.1%).
Sharpe leader (same as main): MACD — CAGR 11.4%, MDD -57.8%, Sharpe 0.47, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 4.7%, MDD -47.3%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=43, signal=17 |
11.4% | -57.8% | 0.47 | 0.20 | 5.7x | 154 | 51% |
| 볼린저 밴드 돌파 n=13, k=3.3 |
2.1% | -7.9% | 0.42 | 0.26 | 1.4x | 4 | 1% |
| Parabolic SAR step=0.02, maxStep=0.14 |
6.9% | -62.6% | 0.36 | 0.11 | 2.9x | 322 | 52% |
| SMA 크로스오버 fast=45, slow=232 |
6.7% | -65.7% | 0.36 | 0.10 | 2.9x | 30 | 47% |
| Donchian 채널 돌파 entryN=70, exitN=18 |
5.9% | -55.4% | 0.34 | 0.11 | 2.5x | 50 | 29% |
| EMA 크로스오버 fast=60, slow=273 |
5.4% | -69.1% | 0.32 | 0.08 | 2.3x | 16 | 45% |
| ADX / DI 방향성 period=33, threshold=21 |
4.1% | -37.3% | 0.32 | 0.11 | 1.9x | 22 | 12% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=3.2 |
4.7% | -47.3% | 0.32 | 0.10 | 2.1x | 46 | 20% |
| Supertrend period=21, mult=4.1 |
2.1% | -78.4% | 0.24 | 0.03 | 1.4x | 69 | 51% |
| ROC 모멘텀 n=142, threshold=0.02 |
-0.7% | -78.4% | 0.16 | -0.01 | 0.9x | 126 | 49% |
| Buy and hold | 4.9% | -91.1% | 0.37 | 0.05 | 2.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/43) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line