Trend-Following Backtester · Guide · backtest 한국어
equity · US
ACI Worldwide, Inc. backtest
10 trend-following strategies were compared on the full daily history of ACI Worldwide, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.4%, MDD -51.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -90.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.4%, MDD -51.2%, Sharpe 0.49, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 10.4%, MDD -51.2%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=165, slow=178 |
10.4% | -51.2% | 0.49 | 0.20 | 22.6x | 15 | 60% |
| ADX / DI 방향성 period=47, threshold=21 |
5.8% | -29.2% | 0.46 | 0.20 | 6.0x | 18 | 10% |
| SMA 크로스오버 fast=38, slow=216 |
4.1% | -81.2% | 0.28 | 0.05 | 3.6x | 47 | 54% |
| MACD fast=17, slow=57, signal=15 |
3.1% | -64.8% | 0.26 | 0.05 | 2.6x | 346 | 50% |
| Donchian 채널 돌파 entryN=23, exitN=73 |
1.8% | -89.9% | 0.25 | 0.02 | 1.8x | 77 | 78% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=19, mult=3.7 |
2.4% | -77.1% | 0.22 | 0.03 | 2.1x | 73 | 27% |
| ROC 모멘텀 n=149, threshold=0.13 |
1.5% | -86.2% | 0.19 | 0.02 | 1.6x | 263 | 38% |
| 볼린저 밴드 돌파 n=31, k=1.4 |
0.8% | -88.3% | 0.17 | 0.01 | 1.3x | 280 | 39% |
| Supertrend period=10, mult=2.1 |
-0.9% | -86.3% | 0.14 | -0.01 | 0.8x | 356 | 55% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-2.0% | -92.4% | 0.11 | -0.02 | 0.5x | 412 | 53% |
| Buy and hold | 9.6% | -90.1% | 0.43 | 0.11 | 17.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 165-day EMA crosses above the 178-day EMA
- Sell — Sell when the 165-day EMA falls below the 178-day EMA