Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amneal Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Amneal Pharmaceuticals, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.2%, MDD -38.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.4%, drawdown -94.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.9%, MDD -46.7%, Sharpe 0.72, 48% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.1%, MDD -46.3%, exposure 52%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 18.2%, MDD -38.3%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=159 |
20.9% | -46.7% | 0.72 | 0.45 | 4.8x | 15 | 48% |
| SMA 크로스오버 fast=44, slow=284 |
21.1% | -46.3% | 0.71 | 0.46 | 4.8x | 7 | 52% |
| Donchian 채널 돌파 entryN=156, exitN=79 |
18.2% | -38.3% | 0.71 | 0.48 | 4.0x | 5 | 38% |
| Supertrend period=6, mult=3.7 |
18.3% | -60.3% | 0.59 | 0.30 | 4.0x | 33 | 60% |
| ROC 모멘텀 n=118, threshold=0.13 |
15.8% | -59.0% | 0.59 | 0.27 | 3.3x | 49 | 39% |
| ADX / DI 방향성 period=29, threshold=16 |
14.5% | -59.3% | 0.58 | 0.25 | 3.1x | 39 | 36% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=2.3 |
11.2% | -55.3% | 0.48 | 0.20 | 2.4x | 33 | 32% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
11.4% | -63.3% | 0.46 | 0.18 | 2.4x | 59 | 42% |
| MACD fast=19, slow=47, signal=18 |
1.5% | -76.2% | 0.26 | 0.02 | 1.1x | 87 | 52% |
| Parabolic SAR step=0.025, maxStep=0.14 |
1.6% | -75.6% | 0.25 | 0.02 | 1.1x | 195 | 51% |
| Buy and hold | 2.4% | -94.8% | 0.35 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 159-day EMA
- Sell — Sell when the 9-day EMA falls below the 159-day EMA