Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Amaroq Ltd. backtest
10 trend-following strategies were compared on the full daily history of Amaroq Ltd.. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 20.6%, MDD -43.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.4%, drawdown -56.7%).
Sharpe leader (same as main): MACD — CAGR 20.6%, MDD -43.6%, Sharpe 0.85, 50% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 22.5%, MDD -52.5%, exposure 48%.
Return/drawdown alternative: MACD — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 13.0%p (CAGR 20.6%, MDD -43.6%, exposure 50%).
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=7, slow=22, signal=14 |
20.6% | -43.6% | 0.85 | 0.47 | 3.1x | 98 | 50% |
| 볼린저 밴드 돌파 n=53, k=0.5 |
22.5% | -52.5% | 0.82 | 0.43 | 3.4x | 29 | 48% |
| Supertrend period=19, mult=2.6 |
21.2% | -51.5% | 0.79 | 0.41 | 3.2x | 27 | 50% |
| SMA 크로스오버 fast=3, slow=67 |
20.0% | -50.4% | 0.75 | 0.40 | 3.0x | 33 | 50% |
| EMA 크로스오버 fast=9, slow=27 |
16.5% | -52.1% | 0.67 | 0.32 | 2.5x | 43 | 51% |
| Donchian 채널 돌파 entryN=26, exitN=25 |
14.8% | -47.5% | 0.62 | 0.31 | 2.3x | 25 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=1.9 |
13.3% | -53.0% | 0.59 | 0.25 | 2.1x | 19 | 38% |
| Parabolic SAR step=0.035, maxStep=0.32 |
13.5% | -53.3% | 0.58 | 0.25 | 2.2x | 157 | 52% |
| ADX / DI 방향성 period=9, threshold=28 |
12.1% | -50.0% | 0.56 | 0.24 | 2.0x | 95 | 38% |
| ROC 모멘텀 n=45, threshold=-0.04 |
13.0% | -49.2% | 0.55 | 0.27 | 2.1x | 73 | 62% |
| Buy and hold | 14.4% | -56.7% | 0.55 | 0.25 | 2.3x | 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 (7/22) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line