Trend-Following Backtester · Guide · backtest 한국어
etf · US
Amplify Blockchain Technology ETF backtest
10 trend-following strategies were compared on the full daily history of Amplify Blockchain Technology ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -29.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.0%, drawdown -76.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.6%, MDD -34.6%, Sharpe 1.03, 42% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 26.0%, MDD -29.2%, exposure 57%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 17.5%, MDD -29.1%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=1.6 |
24.6% | -34.6% | 1.03 | 0.71 | 6.5x | 54 | 42% |
| EMA 크로스오버 fast=6, slow=31 |
26.0% | -29.2% | 0.98 | 0.89 | 7.1x | 70 | 57% |
| Supertrend period=19, mult=3.3 |
22.6% | -29.5% | 0.96 | 0.77 | 5.7x | 58 | 49% |
| ROC 모멘텀 n=21, threshold=-0.01 |
23.7% | -31.1% | 0.91 | 0.76 | 6.1x | 132 | 59% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=18, mult=1.3 |
17.5% | -29.1% | 0.85 | 0.60 | 3.9x | 96 | 36% |
| MACD fast=19, slow=45, signal=14 |
17.9% | -48.1% | 0.74 | 0.37 | 4.1x | 100 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=48 |
18.1% | -55.0% | 0.69 | 0.33 | 4.1x | 26 | 74% |
| SMA 크로스오버 fast=18, slow=113 |
16.3% | -48.2% | 0.66 | 0.34 | 3.6x | 25 | 59% |
| ADX / DI 방향성 period=37, threshold=26 |
8.9% | -20.8% | 0.64 | 0.43 | 2.1x | 6 | 8% |
| Parabolic SAR step=0.015, maxStep=0.12 |
14.4% | -59.4% | 0.63 | 0.24 | 3.1x | 140 | 54% |
| Buy and hold | 13.0% | -76.6% | 0.51 | 0.17 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 29-day middle average