Trend-Following Backtester · Guide · backtest 한국어
equity · AU
AMP Limited backtest
10 trend-following strategies were compared on the full daily history of AMP Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.9%, MDD -38.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.5%, drawdown -96.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -1.0%, MDD -68.8%, Sharpe 0.05, 43% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR -0.8%, MDD -67.4%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR -0.9%, MDD -38.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=210 |
-1.0% | -68.8% | 0.05 | -0.02 | 0.7x | 55 | 43% |
| EMA 크로스오버 fast=12, slow=206 |
-0.8% | -67.4% | 0.04 | -0.01 | 0.8x | 65 | 41% |
| 볼린저 밴드 돌파 n=37, k=3 |
-1.5% | -47.6% | -0.06 | -0.03 | 0.6x | 47 | 11% |
| Donchian 채널 돌파 entryN=67, exitN=76 |
-3.8% | -83.7% | -0.06 | -0.05 | 0.3x | 51 | 47% |
| ADX / DI 방향성 period=17, threshold=38 |
-0.9% | -38.9% | -0.11 | -0.02 | 0.8x | 23 | 3% |
| ROC 모멘텀 n=142, threshold=0.03 |
-4.1% | -76.0% | -0.11 | -0.05 | 0.3x | 237 | 37% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=21, mult=3.9 |
-2.7% | -68.1% | -0.12 | -0.04 | 0.5x | 59 | 19% |
| Supertrend period=23, mult=5 |
-5.6% | -92.9% | -0.14 | -0.06 | 0.2x | 99 | 45% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-8.9% | -97.0% | -0.26 | -0.09 | 0.1x | 233 | 48% |
| MACD fast=18, slow=33, signal=18 |
-10.1% | -98.1% | -0.30 | -0.10 | 0.1x | 315 | 49% |
| Buy and hold | -7.5% | -96.1% | -0.04 | -0.08 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 13-day average falls below the 210-day average