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 16.8%, MDD -29.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.5%, drawdown -76.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.2%, MDD -34.6%, Sharpe 1.02, 42% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 25.5%, MDD -29.2%, exposure 57%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 16.8%, 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 |
24.2% | -34.6% | 1.02 | 0.70 | 6.4x | 55 | 42% |
| EMA 크로스오버 fast=6, slow=31 |
25.5% | -29.2% | 0.97 | 0.87 | 7.1x | 71 | 57% |
| Supertrend period=19, mult=3.3 |
22.3% | -29.5% | 0.95 | 0.76 | 5.7x | 58 | 49% |
| ROC 모멘텀 n=21, threshold=-0.01 |
22.8% | -31.1% | 0.88 | 0.73 | 5.9x | 137 | 58% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=18, mult=1.3 |
16.8% | -29.1% | 0.83 | 0.58 | 3.8x | 97 | 36% |
| MACD fast=19, slow=45, signal=14 |
17.5% | -48.1% | 0.73 | 0.36 | 4.0x | 103 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=48 |
17.4% | -55.0% | 0.68 | 0.32 | 4.0x | 27 | 73% |
| SMA 크로스오버 fast=18, slow=113 |
15.9% | -48.2% | 0.65 | 0.33 | 3.5x | 27 | 60% |
| ADX / DI 방향성 period=37, threshold=26 |
8.8% | -20.8% | 0.64 | 0.42 | 2.1x | 6 | 8% |
| Parabolic SAR step=0.015, maxStep=0.12 |
14.4% | -59.4% | 0.64 | 0.24 | 3.2x | 141 | 55% |
| Buy and hold | 13.5% | -76.6% | 0.52 | 0.18 | 3.0x | 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