Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Amper, S.A. backtest
10 trend-following strategies were compared on the full daily history of Amper, S.A.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -21.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.4%, drawdown -99.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -34.9%, Sharpe 0.32, 14% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 64.1%p (CAGR 1.2%, MDD -21.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=3.1 |
4.2% | -34.9% | 0.32 | 0.12 | 3.0x | 52 | 14% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
3.7% | -37.6% | 0.31 | 0.10 | 2.6x | 38 | 10% |
| EMA 크로스오버 fast=52, slow=159 |
3.0% | -72.4% | 0.24 | 0.04 | 2.2x | 33 | 42% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.4% | -85.8% | 0.23 | 0.02 | 1.5x | 178 | 46% |
| SMA 크로스오버 fast=44, slow=112 |
1.6% | -84.6% | 0.21 | 0.02 | 1.5x | 73 | 45% |
| Donchian 채널 돌파 entryN=86, exitN=50 |
2.1% | -68.3% | 0.20 | 0.03 | 1.7x | 40 | 34% |
| ADX / DI 방향성 period=23, threshold=39 |
1.2% | -21.9% | 0.19 | 0.06 | 1.4x | 16 | 2% |
| Supertrend period=18, mult=3.2 |
-1.3% | -87.9% | 0.16 | -0.01 | 0.7x | 140 | 51% |
| ROC 모멘텀 n=136, threshold=-0.01 |
-1.6% | -87.0% | 0.08 | -0.02 | 0.6x | 225 | 45% |
| MACD fast=17, slow=52, signal=16 |
-5.6% | -94.8% | 0.04 | -0.06 | 0.2x | 300 | 49% |
| Buy and hold | 0.4% | -99.0% | 0.20 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average