Trend-Following Backtester · Guide · backtest 한국어
equity · NL
AMG Critical Materials N.V. backtest
10 trend-following strategies were compared on the full daily history of AMG Critical Materials N.V.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -27.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.5%, drawdown -94.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.2%, MDD -40.2%, Sharpe 0.66, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 54.0%p (CAGR 3.8%, MDD -27.4%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=3.8 |
13.2% | -40.2% | 0.66 | 0.33 | 10.7x | 42 | 25% |
| ROC 모멘텀 n=29, threshold=0.03 |
11.5% | -59.6% | 0.51 | 0.19 | 8.0x | 349 | 43% |
| 볼린저 밴드 돌파 n=19, k=2.1 |
8.8% | -58.3% | 0.47 | 0.15 | 5.0x | 154 | 27% |
| SMA 크로스오버 fast=10, slow=155 |
10.2% | -60.3% | 0.46 | 0.17 | 6.4x | 60 | 48% |
| Donchian 채널 돌파 entryN=116, exitN=16 |
7.5% | -63.2% | 0.45 | 0.12 | 4.0x | 44 | 22% |
| EMA 크로스오버 fast=12, slow=89 |
9.3% | -59.4% | 0.44 | 0.16 | 5.5x | 76 | 46% |
| ADX / DI 방향성 period=37, threshold=27 |
3.8% | -27.4% | 0.40 | 0.14 | 2.0x | 12 | 7% |
| Supertrend period=30, mult=4.3 |
6.9% | -76.3% | 0.37 | 0.09 | 3.6x | 79 | 43% |
| MACD fast=19, slow=50, signal=19 |
1.3% | -86.3% | 0.21 | 0.02 | 1.3x | 189 | 53% |
| Parabolic SAR step=0.045, maxStep=0.4 |
-3.5% | -92.2% | 0.06 | -0.04 | 0.5x | 634 | 52% |
| Buy and hold | 0.5% | -94.2% | 0.26 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 54-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average