Trend-Following Backtester · Guide · backtest 한국어
etf · US
Amplify CWP Enhanced Dividend Income ETF backtest
10 trend-following strategies were compared on the full daily history of Amplify CWP Enhanced Dividend Income ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -31.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -20.1%, Sharpe 0.44, 85% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.4%, MDD -18.2%, exposure 94%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=75 |
4.2% | -20.1% | 0.44 | 0.21 | 1.5x | 19 | 85% |
| ROC 모멘텀 n=56, threshold=-0.08 |
4.4% | -18.2% | 0.42 | 0.24 | 1.5x | 15 | 94% |
| SMA 크로스오버 fast=33, slow=119 |
3.3% | -18.6% | 0.39 | 0.18 | 1.4x | 25 | 67% |
| EMA 크로스오버 fast=43, slow=106 |
2.9% | -23.9% | 0.34 | 0.12 | 1.3x | 19 | 74% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
0.2% | -2.1% | 0.21 | 0.11 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=17, threshold=37 |
-0.2% | -7.0% | -0.12 | -0.03 | 1.0x | 6 | 3% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.4% | -26.5% | -0.22 | -0.09 | 0.8x | 137 | 61% |
| Supertrend period=27, mult=2.3 |
-2.9% | -33.4% | -0.25 | -0.09 | 0.8x | 121 | 62% |
| MACD fast=19, slow=59, signal=17 |
-2.9% | -27.1% | -0.32 | -0.11 | 0.8x | 113 | 53% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=16, mult=3.4 |
-1.2% | -16.2% | -0.38 | -0.08 | 0.9x | 18 | 9% |
| Buy and hold | 6.7% | -31.7% | 0.51 | 0.21 | 1.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 75 days