Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amalgamated Financial Corp. backtest
10 trend-following strategies were compared on the full daily history of Amalgamated Financial Corp.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.0%, MDD -20.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.7%, drawdown -63.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.0%, MDD -20.5%, Sharpe 0.87, 38% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.4%, MDD -23.7%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 17.0%, MDD -20.5%, exposure 38%).
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=70, exitN=18 |
17.0% | -20.5% | 0.87 | 0.83 | 3.5x | 17 | 38% |
| SMA 크로스오버 fast=37, slow=71 |
18.4% | -23.7% | 0.78 | 0.78 | 3.8x | 23 | 57% |
| ROC 모멘텀 n=150, threshold=0 |
17.1% | -36.5% | 0.74 | 0.47 | 3.5x | 29 | 60% |
| Supertrend period=9, mult=4.2 |
17.9% | -39.3% | 0.73 | 0.46 | 3.7x | 23 | 57% |
| EMA 크로스오버 fast=45, slow=94 |
13.1% | -39.0% | 0.62 | 0.34 | 2.7x | 17 | 58% |
| MACD fast=24, slow=56, signal=20 |
10.7% | -39.9% | 0.51 | 0.27 | 2.2x | 65 | 49% |
| 볼린저 밴드 돌파 n=49, k=1.7 |
5.8% | -29.5% | 0.35 | 0.20 | 1.6x | 45 | 41% |
| Parabolic SAR step=0.035, maxStep=0.14 |
4.0% | -43.4% | 0.28 | 0.09 | 1.4x | 231 | 53% |
| ADX / DI 방향성 period=11, threshold=37 |
2.3% | -23.7% | 0.27 | 0.10 | 1.2x | 29 | 11% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=14, mult=2.6 |
2.8% | -26.0% | 0.25 | 0.11 | 1.2x | 31 | 23% |
| Buy and hold | 14.7% | -63.7% | 0.54 | 0.23 | 3.0x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 18 days