Trend-Following Backtester · Guide · backtest 한국어
equity · US
AMC Global Media Inc. backtest
10 trend-following strategies were compared on the full daily history of AMC Global Media Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -34.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.4%, drawdown -93.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -35.9%, Sharpe 0.34, 16% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.6%, MDD -49.1%, exposure 14%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 57.7%p (CAGR 1.0%, MDD -34.7%, exposure 1%).
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=117, exitN=14 |
4.5% | -35.9% | 0.34 | 0.13 | 2.0x | 29 | 16% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=2.6 |
4.6% | -49.1% | 0.33 | 0.09 | 2.0x | 38 | 14% |
| 볼린저 밴드 돌파 n=29, k=2.4 |
4.2% | -41.0% | 0.29 | 0.10 | 1.9x | 62 | 20% |
| SMA 크로스오버 fast=40, slow=126 |
2.2% | -59.1% | 0.21 | 0.04 | 1.4x | 33 | 41% |
| ROC 모멘텀 n=107, threshold=0.19 |
1.8% | -59.6% | 0.19 | 0.03 | 1.3x | 67 | 19% |
| Parabolic SAR step=0.015, maxStep=0.1 |
0.4% | -69.2% | 0.17 | 0.01 | 1.1x | 244 | 48% |
| ADX / DI 방향성 period=39, threshold=33 |
1.0% | -34.7% | 0.15 | 0.03 | 1.2x | 2 | 1% |
| MACD fast=16, slow=35, signal=11 |
-2.7% | -65.6% | 0.09 | -0.04 | 0.7x | 214 | 53% |
| EMA 크로스오버 fast=39, slow=135 |
-1.6% | -75.0% | 0.08 | -0.02 | 0.8x | 27 | 41% |
| Supertrend period=16, mult=3 |
-4.8% | -72.1% | -0.00 | -0.07 | 0.5x | 95 | 44% |
| Buy and hold | -7.4% | -93.6% | 0.07 | -0.08 | 0.3x | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 14 days