Trend-Following Backtester · Guide · backtest 한국어
etf · US
Amplify CWP Enhanced Dividend Income ETF backtest
10 trend-following strategies were compared on the full daily history of Amplify CWP Enhanced Dividend Income ETF. 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 7.0%, drawdown -31.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -20.1%, Sharpe 0.46, 85% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.7%, MDD -18.2%, exposure 94%.
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=20, exitN=75 |
4.5% | -20.1% | 0.46 | 0.22 | 1.5x | 19 | 85% |
| ROC 모멘텀 n=56, threshold=-0.08 |
4.7% | -18.2% | 0.45 | 0.26 | 1.6x | 15 | 94% |
| SMA 크로스오버 fast=33, slow=119 |
3.6% | -18.6% | 0.42 | 0.19 | 1.4x | 25 | 68% |
| EMA 크로스오버 fast=43, slow=106 |
3.2% | -23.9% | 0.37 | 0.13 | 1.4x | 19 | 74% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
0.2% | -2.1% | 0.21 | 0.11 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=17, threshold=37 |
-0.2% | -7.0% | -0.12 | -0.03 | 1.0x | 6 | 3% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.1% | -26.5% | -0.18 | -0.08 | 0.8x | 138 | 61% |
| Supertrend period=27, mult=2.3 |
-2.6% | -33.4% | -0.22 | -0.08 | 0.8x | 121 | 62% |
| MACD fast=19, slow=59, signal=17 |
-2.6% | -27.1% | -0.28 | -0.10 | 0.8x | 113 | 53% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=16, mult=3.4 |
-1.3% | -16.2% | -0.40 | -0.08 | 0.9x | 19 | 9% |
| Buy and hold | 7.0% | -31.7% | 0.53 | 0.22 | 1.9x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 75 days