Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amdocs Limited backtest
10 trend-following strategies were compared on the full daily history of Amdocs Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.4%, MDD -53.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.5%, drawdown -93.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -62.1%, Sharpe 0.47, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 7.4%, MDD -53.3%, exposure 62%).
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=54, exitN=103 |
9.5% | -62.1% | 0.47 | 0.15 | 13.1x | 33 | 71% |
| EMA 크로스오버 fast=29, slow=113 |
7.4% | -53.3% | 0.41 | 0.14 | 7.4x | 56 | 62% |
| SMA 크로스오버 fast=55, slow=202 |
6.3% | -54.6% | 0.37 | 0.11 | 5.5x | 34 | 61% |
| 볼린저 밴드 돌파 n=56, k=2.6 |
4.8% | -39.7% | 0.37 | 0.12 | 3.8x | 56 | 21% |
| ROC 모멘텀 n=147, threshold=0.09 |
4.8% | -60.8% | 0.32 | 0.08 | 3.8x | 192 | 36% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=22, mult=3.2 |
2.7% | -27.3% | 0.28 | 0.10 | 2.1x | 48 | 9% |
| ADX / DI 방향성 period=35, threshold=18 |
3.1% | -50.8% | 0.27 | 0.06 | 2.4x | 74 | 14% |
| Supertrend period=12, mult=4.1 |
3.6% | -66.3% | 0.27 | 0.05 | 2.7x | 123 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.7% | -81.3% | 0.15 | 0.01 | 1.2x | 249 | 54% |
| MACD fast=18, slow=45, signal=17 |
0.4% | -86.7% | 0.14 | 0.00 | 1.1x | 329 | 52% |
| Buy and hold | 5.5% | -93.4% | 0.33 | 0.06 | 4.5x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 103 days