Trend-Following Backtester · Guide · backtest 한국어
equity · US
Acuity Inc. backtest
10 trend-following strategies were compared on the full daily history of Acuity Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -74.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -48.9%, Sharpe 0.52, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 10.8%, MDD -48.9%, exposure 62%).
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=54, slow=125 |
10.8% | -48.9% | 0.52 | 0.22 | 12.6x | 49 | 62% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
3.6% | -17.5% | 0.48 | 0.21 | 2.4x | 32 | 9% |
| EMA 크로스오버 fast=39, slow=216 |
8.9% | -55.9% | 0.47 | 0.16 | 8.2x | 31 | 63% |
| Supertrend period=14, mult=5 |
7.7% | -69.6% | 0.42 | 0.11 | 6.3x | 79 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=18 |
6.1% | -55.6% | 0.38 | 0.11 | 4.3x | 107 | 48% |
| ROC 모멘텀 n=98, threshold=-0.04 |
4.7% | -71.5% | 0.30 | 0.07 | 3.1x | 201 | 67% |
| ADX / DI 방향성 period=21, threshold=17 |
3.5% | -57.7% | 0.28 | 0.06 | 2.3x | 208 | 39% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=29, mult=2.2 |
2.2% | -57.2% | 0.21 | 0.04 | 1.7x | 133 | 39% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.9% | -75.0% | 0.20 | 0.03 | 1.6x | 212 | 57% |
| MACD fast=17, slow=41, signal=15 |
-0.7% | -64.6% | 0.10 | -0.01 | 0.8x | 312 | 52% |
| Buy and hold | 13.7% | -74.5% | 0.52 | 0.18 | 23.7x | 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 54-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 54-day average falls below the 125-day average