Trend-Following Backtester · Guide · backtest 한국어
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ACE 미국나스닥100 backtest
10 trend-following strategies were compared on the full daily history of ACE 미국나스닥100. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 21.7%, MDD -15.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.9%, drawdown -31.2%).
Sharpe leader (same as main): MACD — CAGR 21.7%, MDD -15.0%, Sharpe 1.84, 47% exposure.
Return/drawdown alternative: MACD — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 16.3%p (CAGR 21.7%, MDD -15.0%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=65, signal=28 |
21.7% | -15.0% | 1.84 | 1.45 | 3.1x | 24 | 47% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=13, mult=2.4 |
18.2% | -11.2% | 1.60 | 1.63 | 2.6x | 28 | 51% |
| Supertrend period=10, mult=4.4 |
20.1% | -15.5% | 1.56 | 1.29 | 2.9x | 26 | 60% |
| 볼린저 밴드 돌파 n=34, k=1.1 |
16.1% | -15.7% | 1.32 | 1.03 | 2.4x | 40 | 57% |
| ADX / DI 방향성 period=16, threshold=10 |
17.0% | -18.8% | 1.30 | 0.90 | 2.5x | 80 | 63% |
| Donchian 채널 돌파 entryN=26, exitN=39 |
19.4% | -21.1% | 1.29 | 0.92 | 2.8x | 16 | 74% |
| EMA 크로스오버 fast=31, slow=95 |
18.8% | -20.6% | 1.26 | 0.91 | 2.7x | 7 | 74% |
| SMA 크로스오버 fast=17, slow=149 |
17.5% | -22.2% | 1.22 | 0.79 | 2.5x | 7 | 69% |
| ROC 모멘텀 n=34, threshold=-0.01 |
17.4% | -19.8% | 1.20 | 0.88 | 2.5x | 56 | 72% |
| Parabolic SAR step=0.02, maxStep=0.12 |
8.6% | -20.6% | 0.68 | 0.42 | 1.6x | 94 | 64% |
| Buy and hold | 21.9% | -31.2% | 1.09 | 0.70 | 3.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/65) crosses above its 28-day signal line
- Sell — Sell when the MACD line crosses back below the signal line