Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amphastar Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Amphastar Pharmaceuticals, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -74.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -11.5%, Sharpe 0.44, 5% exposure.
CAGR reference leader: MACD — CAGR 4.7%, MDD -67.0%, exposure 52%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=3 |
3.1% | -11.5% | 0.44 | 0.27 | 1.4x | 18 | 5% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=14, mult=2.5 |
2.3% | -13.5% | 0.33 | 0.17 | 1.3x | 16 | 4% |
| MACD fast=12, slow=25, signal=11 |
4.7% | -67.0% | 0.31 | 0.07 | 1.8x | 195 | 52% |
| ADX / DI 방향성 period=28, threshold=14 |
2.9% | -42.4% | 0.24 | 0.07 | 1.4x | 102 | 36% |
| ROC 모멘텀 n=133, threshold=0.1 |
2.9% | -50.6% | 0.24 | 0.06 | 1.4x | 100 | 36% |
| Supertrend period=13, mult=2.3 |
1.7% | -47.1% | 0.21 | 0.04 | 1.2x | 105 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.3% | -63.8% | 0.17 | 0.00 | 1.0x | 97 | 54% |
| EMA 크로스오버 fast=11, slow=92 |
-0.2% | -65.8% | 0.15 | -0.00 | 1.0x | 55 | 52% |
| Donchian 채널 돌파 entryN=114, exitN=35 |
0.6% | -66.8% | 0.14 | 0.01 | 1.1x | 24 | 28% |
| SMA 크로스오버 fast=52, slow=110 |
-0.8% | -76.9% | 0.13 | -0.01 | 0.9x | 33 | 50% |
| Buy and hold | 8.0% | -74.0% | 0.40 | 0.11 | 2.6x | 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 12-day average (3× volatility)
- Sell — Sell when the close falls back to the 12-day middle average