Trend-Following Backtester · Guide · backtest 한국어
equity · US
Advanced Micro Devices, Inc. backtest
10 trend-following strategies were compared on the full daily history of Advanced Micro Devices, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.7%, MDD -61.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.4%, drawdown -96.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.7%, MDD -61.1%, Sharpe 0.69, 37% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 19.7%, MDD -61.1%, exposure 37%).
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=42, k=1.9 |
19.7% | -61.1% | 0.69 | 0.32 | 4244.0x | 236 | 37% |
| Donchian 채널 돌파 entryN=27, exitN=28 |
18.9% | -76.8% | 0.62 | 0.25 | 3055.2x | 200 | 54% |
| MACD fast=23, slow=75, signal=13 |
18.4% | -80.6% | 0.62 | 0.23 | 2504.9x | 448 | 52% |
| Supertrend period=10, mult=3.6 |
17.7% | -76.8% | 0.60 | 0.23 | 1903.6x | 246 | 52% |
| SMA 크로스오버 fast=18, slow=40 |
17.3% | -82.9% | 0.59 | 0.21 | 1651.4x | 290 | 52% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=1.6 |
15.2% | -62.7% | 0.58 | 0.24 | 694.3x | 354 | 38% |
| Parabolic SAR step=0.005, maxStep=0.36 |
15.2% | -76.8% | 0.55 | 0.20 | 713.7x | 382 | 50% |
| EMA 크로스오버 fast=28, slow=122 |
15.2% | -86.2% | 0.54 | 0.18 | 697.9x | 99 | 53% |
| ROC 모멘텀 n=99, threshold=0.12 |
12.5% | -74.7% | 0.49 | 0.17 | 231.9x | 379 | 42% |
| ADX / DI 방향성 period=20, threshold=23 |
10.1% | -57.8% | 0.49 | 0.17 | 84.9x | 238 | 23% |
| Buy and hold | 11.4% | -96.6% | 0.48 | 0.12 | 150.6x | 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 42-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 42-day middle average