Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amazon backtest
10 trend-following strategies were compared on the full daily history of Amazon. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 27.4%, MDD -64.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 30.9%, drawdown -94.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 27.4%, MDD -64.6%, Sharpe 0.80, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 29.8%p (CAGR 27.4%, MDD -64.6%, exposure 67%).
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=59, slow=74 |
27.4% | -64.6% | 0.80 | 0.42 | 1201.1x | 51 | 67% |
| SMA 크로스오버 fast=29, slow=158 |
24.2% | -67.9% | 0.75 | 0.36 | 568.5x | 49 | 65% |
| ROC 모멘텀 n=132, threshold=-0.03 |
23.0% | -60.5% | 0.72 | 0.38 | 431.4x | 191 | 70% |
| Supertrend period=19, mult=5 |
18.4% | -76.1% | 0.63 | 0.24 | 141.2x | 101 | 55% |
| Donchian 채널 돌파 entryN=75, exitN=77 |
19.0% | -79.5% | 0.63 | 0.24 | 163.1x | 45 | 69% |
| ADX / DI 방향성 period=31, threshold=7 |
16.4% | -80.8% | 0.58 | 0.20 | 85.4x | 353 | 60% |
| Parabolic SAR step=0.005, maxStep=0.22 |
12.9% | -80.4% | 0.51 | 0.16 | 35.3x | 253 | 59% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
7.9% | -55.7% | 0.49 | 0.14 | 9.4x | 58 | 9% |
| MACD fast=22, slow=56, signal=7 |
11.6% | -85.8% | 0.48 | 0.14 | 25.1x | 436 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2.3 |
10.2% | -79.5% | 0.46 | 0.13 | 17.3x | 159 | 46% |
| Buy and hold | 30.9% | -94.4% | 0.76 | 0.33 | 2637.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 74-day EMA
- Sell — Sell when the 59-day EMA falls below the 74-day EMA