Trend-Following Backtester · Guide · backtest 한국어
equity · US
AMETEK, Inc. backtest
10 trend-following strategies were compared on the full daily history of AMETEK, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -56.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -56.3%, Sharpe 0.43, 78% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=36, exitN=76 |
7.4% | -56.3% | 0.43 | 0.13 | 19.8x | 79 | 78% |
| SMA 크로스오버 fast=44, slow=93 |
6.6% | -49.1% | 0.41 | 0.13 | 14.8x | 127 | 65% |
| EMA 크로스오버 fast=45, slow=219 |
6.4% | -57.6% | 0.39 | 0.11 | 13.7x | 49 | 74% |
| ROC 모멘텀 n=97, threshold=-0.04 |
4.8% | -67.0% | 0.32 | 0.07 | 7.1x | 323 | 76% |
| Supertrend period=29, mult=4 |
4.4% | -41.2% | 0.32 | 0.11 | 6.2x | 194 | 64% |
| Parabolic SAR step=0.005, maxStep=0.1 |
2.3% | -49.3% | 0.21 | 0.05 | 2.6x | 336 | 60% |
| MACD fast=19, slow=44, signal=15 |
0.7% | -67.8% | 0.13 | 0.01 | 1.3x | 476 | 51% |
| 볼린저 밴드 돌파 n=77, k=3.1 |
0.4% | -37.2% | 0.09 | 0.01 | 1.2x | 48 | 15% |
| ADX / DI 방향성 period=36, threshold=33 |
-0.0% | -8.1% | 0.01 | -0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=2.7 |
-1.2% | -68.5% | -0.00 | -0.02 | 0.6x | 196 | 39% |
| Buy and hold | 12.3% | -56.1% | 0.55 | 0.22 | 130.3x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 76 days