Trend-Following Backtester · Guide · backtest 한국어
equity · US
Abacus Global Management, Inc. backtest
10 trend-following strategies were compared on the full daily history of Abacus Global Management, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -23.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.3%, drawdown -62.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.4%, MDD -30.4%, Sharpe 0.56, 20% exposure.
CAGR reference leader: MACD — CAGR 12.4%, MDD -53.4%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 0.5%, MDD -23.9%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=92, threshold=0.09 |
11.4% | -30.4% | 0.56 | 0.38 | 1.9x | 28 | 20% |
| MACD fast=10, slow=25, signal=18 |
12.4% | -53.4% | 0.54 | 0.23 | 2.0x | 103 | 52% |
| EMA 크로스오버 fast=17, slow=126 |
6.8% | -29.0% | 0.38 | 0.24 | 1.5x | 11 | 51% |
| SMA 크로스오버 fast=8, slow=146 |
5.4% | -33.0% | 0.33 | 0.16 | 1.4x | 11 | 52% |
| Supertrend period=28, mult=1.9 |
3.1% | -45.6% | 0.24 | 0.07 | 1.2x | 55 | 47% |
| Donchian 채널 돌파 entryN=114, exitN=43 |
1.3% | -29.3% | 0.17 | 0.04 | 1.1x | 8 | 46% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
0.5% | -23.9% | 0.10 | 0.02 | 1.0x | 16 | 21% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-5.2% | -62.4% | -0.01 | -0.08 | 0.7x | 135 | 52% |
| ADX / DI 방향성 period=17, threshold=13 |
-4.5% | -48.5% | -0.01 | -0.09 | 0.8x | 84 | 51% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=38, mult=1.4 |
-5.2% | -36.9% | -0.13 | -0.14 | 0.7x | 30 | 47% |
| Buy and hold | -0.3% | -62.8% | 0.22 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 92-day return is greater than 9%
- Sell — Sell when the 92-day return drops to 9% or below