Trend-Following Backtester · Guide · backtest 한국어
equity · US
Acushnet Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of Acushnet Holdings Corp.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.3%, drawdown -35.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.3%, MDD -40.7%, Sharpe 0.49, 86% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=145, threshold=-0.09 |
10.3% | -40.7% | 0.49 | 0.25 | 2.6x | 40 | 86% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
9.4% | -38.2% | 0.46 | 0.25 | 2.4x | 23 | 89% |
| EMA 크로스오버 fast=13, slow=270 |
8.5% | -40.1% | 0.44 | 0.21 | 2.2x | 22 | 76% |
| SMA 크로스오버 fast=27, slow=200 |
8.0% | -39.0% | 0.43 | 0.21 | 2.1x | 15 | 73% |
| ADX / DI 방향성 period=26, threshold=8 |
5.3% | -42.4% | 0.34 | 0.12 | 1.7x | 130 | 61% |
| Supertrend period=28, mult=3.6 |
4.2% | -36.3% | 0.29 | 0.11 | 1.5x | 54 | 56% |
| MACD fast=23, slow=36, signal=15 |
2.6% | -48.5% | 0.23 | 0.05 | 1.3x | 102 | 48% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=1.9 |
2.1% | -24.6% | 0.21 | 0.08 | 1.2x | 64 | 38% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
0.1% | -41.7% | 0.10 | 0.00 | 1.0x | 68 | 47% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-1.9% | -62.0% | 0.02 | -0.03 | 0.8x | 220 | 54% |
| Buy and hold | 17.3% | -35.9% | 0.66 | 0.48 | 4.8x | 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 145-day return is greater than -9%
- Sell — Sell when the 145-day return drops to -9% or below