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 16.4%, MDD -20.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.1%, drawdown -63.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, MDD -20.5%, Sharpe 0.84, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.8%, MDD -23.7%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 16.4%, MDD -20.5%, exposure 39%).
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 |
16.4% | -20.5% | 0.84 | 0.80 | 3.4x | 17 | 39% |
| SMA 크로스오버 fast=37, slow=71 |
17.8% | -23.7% | 0.76 | 0.75 | 3.7x | 23 | 58% |
| ROC 모멘텀 n=150, threshold=0 |
16.5% | -36.5% | 0.72 | 0.45 | 3.4x | 29 | 60% |
| Supertrend period=9, mult=4.2 |
17.3% | -39.3% | 0.72 | 0.44 | 3.6x | 23 | 58% |
| EMA 크로스오버 fast=45, slow=94 |
12.6% | -39.0% | 0.60 | 0.32 | 2.6x | 17 | 58% |
| MACD fast=24, slow=56, signal=20 |
10.3% | -39.9% | 0.50 | 0.26 | 2.2x | 66 | 49% |
| 볼린저 밴드 돌파 n=49, k=1.7 |
5.4% | -29.5% | 0.34 | 0.18 | 1.5x | 45 | 41% |
| Parabolic SAR step=0.035, maxStep=0.14 |
3.5% | -43.4% | 0.26 | 0.08 | 1.3x | 234 | 53% |
| ADX / DI 방향성 period=11, threshold=37 |
2.1% | -23.7% | 0.25 | 0.09 | 1.2x | 30 | 12% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=14, mult=2.6 |
2.5% | -26.0% | 0.23 | 0.09 | 1.2x | 32 | 24% |
| Buy and hold | 14.1% | -63.7% | 0.53 | 0.22 | 2.9x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 18 days