Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Amaroq Ltd. backtest
10 trend-following strategies were compared on the full daily history of Amaroq Ltd.. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 21.2%, MDD -43.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.7%, drawdown -56.7%).
Sharpe leader (same as main): MACD — CAGR 21.2%, MDD -43.6%, Sharpe 0.87, 50% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 23.0%, MDD -52.5%, exposure 47%.
Return/drawdown alternative: MACD — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 13.0%p (CAGR 21.2%, MDD -43.6%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=7, slow=22, signal=14 |
21.2% | -43.6% | 0.87 | 0.49 | 3.2x | 97 | 50% |
| 볼린저 밴드 돌파 n=53, k=0.5 |
23.0% | -52.5% | 0.84 | 0.44 | 3.5x | 29 | 47% |
| Supertrend period=19, mult=2.6 |
21.7% | -51.5% | 0.80 | 0.42 | 3.3x | 27 | 50% |
| SMA 크로스오버 fast=3, slow=67 |
20.5% | -50.4% | 0.76 | 0.41 | 3.1x | 33 | 49% |
| EMA 크로스오버 fast=9, slow=27 |
16.9% | -52.1% | 0.68 | 0.32 | 2.6x | 43 | 50% |
| Donchian 채널 돌파 entryN=26, exitN=25 |
15.1% | -47.5% | 0.63 | 0.32 | 2.3x | 25 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=1.9 |
13.7% | -53.0% | 0.60 | 0.26 | 2.2x | 19 | 37% |
| ADX / DI 방향성 period=9, threshold=28 |
13.4% | -50.0% | 0.60 | 0.27 | 2.1x | 93 | 37% |
| Parabolic SAR step=0.035, maxStep=0.32 |
14.1% | -53.3% | 0.60 | 0.26 | 2.2x | 155 | 52% |
| ROC 모멘텀 n=45, threshold=-0.04 |
13.4% | -49.2% | 0.56 | 0.27 | 2.1x | 73 | 61% |
| Buy and hold | 14.7% | -56.7% | 0.56 | 0.26 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (7/22) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line