Trend-Following Backtester · Guide · backtest 한국어
equity · US
Acadian Asset Management Inc. backtest
10 trend-following strategies were compared on the full daily history of Acadian Asset Management Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.8%, MDD -32.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.7%, drawdown -81.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.7%, MDD -61.6%, Sharpe 0.72, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 19.5%p (CAGR 14.8%, MDD -32.8%, exposure 48%).
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=41, slow=54 |
16.7% | -61.6% | 0.72 | 0.27 | 6.2x | 29 | 57% |
| SMA 크로스오버 fast=28, slow=277 |
15.5% | -39.0% | 0.70 | 0.40 | 5.5x | 13 | 53% |
| Supertrend period=6, mult=5 |
15.8% | -60.6% | 0.68 | 0.26 | 5.7x | 33 | 57% |
| ADX / DI 방향성 period=35, threshold=11 |
14.8% | -32.8% | 0.68 | 0.45 | 5.1x | 89 | 48% |
| ROC 모멘텀 n=65, threshold=0 |
13.8% | -53.1% | 0.63 | 0.26 | 4.6x | 131 | 55% |
| 볼린저 밴드 돌파 n=25, k=1.7 |
11.5% | -39.8% | 0.59 | 0.29 | 3.6x | 102 | 40% |
| MACD fast=28, slow=68, signal=10 |
11.1% | -53.4% | 0.53 | 0.21 | 3.4x | 119 | 51% |
| Parabolic SAR step=0.01, maxStep=0.18 |
9.9% | -35.4% | 0.48 | 0.28 | 3.0x | 165 | 55% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=1.3 |
8.8% | -35.1% | 0.48 | 0.25 | 2.7x | 113 | 41% |
| Donchian 채널 돌파 entryN=104, exitN=77 |
8.9% | -56.3% | 0.47 | 0.16 | 2.7x | 17 | 50% |
| Buy and hold | 16.7% | -81.1% | 0.59 | 0.21 | 6.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 54-day EMA
- Sell — Sell when the 41-day EMA falls below the 54-day EMA