Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Accor SA backtest
10 trend-following strategies were compared on the full daily history of Accor SA. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.1%, MDD -21.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.1%, drawdown -67.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -9.3%, Sharpe 0.28, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.1%, MDD -21.3%, exposure 14%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 57.9%p (CAGR 2.1%, MDD -21.3%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=31 |
0.5% | -9.3% | 0.28 | 0.06 | 1.2x | 2 | 1% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
2.1% | -21.3% | 0.28 | 0.10 | 1.7x | 40 | 14% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=28, mult=3.9 |
0.4% | -6.3% | 0.26 | 0.07 | 1.1x | 4 | 1% |
| SMA 크로스오버 fast=58, slow=134 |
-0.3% | -44.9% | 0.08 | -0.01 | 0.9x | 57 | 52% |
| ROC 모멘텀 n=166, threshold=-0.08 |
-1.4% | -65.1% | 0.05 | -0.02 | 0.7x | 181 | 70% |
| Supertrend period=12, mult=3.5 |
-1.7% | -58.7% | 0.02 | -0.03 | 0.6x | 152 | 53% |
| Donchian 채널 돌파 entryN=112, exitN=69 |
-1.5% | -50.5% | -0.01 | -0.03 | 0.7x | 41 | 41% |
| EMA 크로스오버 fast=19, slow=139 |
-2.6% | -63.7% | -0.04 | -0.04 | 0.5x | 79 | 55% |
| MACD fast=14, slow=52, signal=15 |
-4.0% | -84.8% | -0.09 | -0.05 | 0.3x | 342 | 50% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-12.1% | -98.1% | -0.44 | -0.12 | 0.0x | 596 | 53% |
| Buy and hold | 1.1% | -67.2% | 0.20 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)