Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amkor Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Amkor Technology, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.5%, MDD -56.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.8%, drawdown -98.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 27.5%, MDD -56.4%, Sharpe 0.82, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.8%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 19.5%, MDD -56.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=62, k=1.4 |
27.5% | -56.4% | 0.82 | 0.49 | 964.4x | 108 | 41% |
| Donchian 채널 돌파 entryN=30, exitN=17 |
22.9% | -69.6% | 0.72 | 0.33 | 342.6x | 128 | 43% |
| ROC 모멘텀 n=42, threshold=0.1 |
21.4% | -65.0% | 0.70 | 0.33 | 236.8x | 330 | 38% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=1.9 |
19.5% | -56.1% | 0.68 | 0.35 | 153.1x | 144 | 38% |
| EMA 크로스오버 fast=9, slow=24 |
21.4% | -84.1% | 0.67 | 0.25 | 237.1x | 240 | 52% |
| Supertrend period=6, mult=3 |
20.8% | -71.5% | 0.65 | 0.29 | 207.2x | 192 | 49% |
| ADX / DI 방향성 period=16, threshold=12 |
20.3% | -61.1% | 0.65 | 0.33 | 183.3x | 504 | 48% |
| SMA 크로스오버 fast=6, slow=58 |
20.0% | -73.2% | 0.64 | 0.27 | 172.9x | 168 | 52% |
| Parabolic SAR step=0.075, maxStep=0.1 |
16.2% | -77.1% | 0.56 | 0.21 | 69.6x | 708 | 51% |
| MACD fast=14, slow=57, signal=9 |
8.1% | -92.8% | 0.40 | 0.09 | 9.0x | 426 | 51% |
| Buy and hold | 4.8% | -98.1% | 0.40 | 0.05 | 3.7x | 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 62-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 62-day middle average