Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amgen Inc. backtest
10 trend-following strategies were compared on the full daily history of Amgen Inc.. 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 17.9%, drawdown -78.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -66.8%, Sharpe 0.60, 86% exposure.
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=12, exitN=77 |
15.5% | -66.8% | 0.60 | 0.23 | 502.7x | 113 | 86% |
| SMA 크로스오버 fast=47, slow=219 |
12.7% | -71.0% | 0.55 | 0.18 | 177.0x | 67 | 66% |
| ROC 모멘텀 n=173, threshold=-0.13 |
12.7% | -78.9% | 0.53 | 0.16 | 173.3x | 201 | 85% |
| EMA 크로스오버 fast=56, slow=195 |
11.9% | -71.3% | 0.52 | 0.17 | 129.5x | 67 | 70% |
| Supertrend period=9, mult=4.7 |
9.3% | -65.2% | 0.47 | 0.14 | 46.9x | 153 | 55% |
| MACD fast=19, slow=64, signal=26 |
9.1% | -73.0% | 0.47 | 0.12 | 43.0x | 375 | 52% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
7.2% | -50.7% | 0.45 | 0.14 | 20.3x | 159 | 30% |
| Parabolic SAR step=0.005, maxStep=0.1 |
7.4% | -66.9% | 0.41 | 0.11 | 22.2x | 351 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=3.6 |
5.7% | -56.5% | 0.38 | 0.10 | 11.1x | 129 | 27% |
| ADX / DI 방향성 period=23, threshold=39 |
1.8% | -23.7% | 0.26 | 0.07 | 2.1x | 20 | 2% |
| Buy and hold | 17.9% | -78.2% | 0.63 | 0.23 | 1243.4x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 77 days