Trend-Following Backtester · Guide · backtest 한국어
etf · US
Amplify CEF High Income ETF backtest
10 trend-following strategies were compared on the full daily history of Amplify CEF High Income ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.6%, MDD -2.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.1%, drawdown -59.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.6%, MDD -2.2%, Sharpe 0.33, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR 0.6%, MDD -2.2%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=13, threshold=0.14 |
0.6% | -2.2% | 0.33 | 0.26 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=40, threshold=26 |
0.0% | -10.0% | 0.02 | 0.00 | 1.0x | 10 | 10% |
| SMA 크로스오버 fast=55, slow=178 |
-0.8% | -26.8% | -0.09 | -0.03 | 0.9x | 18 | 40% |
| EMA 크로스오버 fast=69, slow=106 |
-1.2% | -24.0% | -0.15 | -0.05 | 0.8x | 22 | 42% |
| Supertrend period=28, mult=3.8 |
-1.6% | -37.4% | -0.15 | -0.04 | 0.8x | 84 | 51% |
| 볼린저 밴드 돌파 n=24, k=3.2 |
-0.3% | -4.5% | -0.23 | -0.06 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=26, exitN=26 |
-2.2% | -32.7% | -0.31 | -0.07 | 0.7x | 64 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=11, mult=4 |
-1.2% | -23.2% | -0.34 | -0.05 | 0.8x | 22 | 9% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.3% | -46.4% | -0.42 | -0.07 | 0.6x | 113 | 51% |
| MACD fast=13, slow=32, signal=14 |
-4.2% | -45.9% | -0.57 | -0.09 | 0.5x | 192 | 49% |
| Buy and hold | -4.1% | -59.7% | -0.23 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than 14%
- Sell — Sell when the 13-day return drops to 14% or below