Trend-Following Backtester · Guide · backtest 한국어

equity · US

Amgen Inc. backtest

10 trend-following strategies were compared on the full daily history of Amgen Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1983-06-17 ~ 2026-07-31daily bars 10,865 (43.1 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 17.7%, drawdown -78.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -66.8%, Sharpe 0.59, 86% exposure.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=12, exitN=77
15.2%-66.8%0.590.23450.4x11386%
SMA 크로스오버
fast=47, slow=219
12.5%-71.0%0.540.18158.6x6766%
ROC 모멘텀
n=173, threshold=-0.13
12.4%-78.9%0.520.16155.3x20185%
EMA 크로스오버
fast=56, slow=195
11.7%-71.3%0.510.16116.1x6770%
Supertrend
period=9, mult=4.7
9.1%-65.2%0.460.1442.0x15355%
MACD
fast=19, slow=64, signal=26
8.8%-73.0%0.460.1238.5x37551%
볼린저 밴드 돌파
n=47, k=2.4
7.0%-50.7%0.430.1418.2x15929%
Parabolic SAR
step=0.005, maxStep=0.1
7.2%-66.9%0.400.1119.9x35153%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=27, mult=3.6
5.5%-55.8%0.370.1010.0x12927%
ADX / DI 방향성
period=23, threshold=39
1.8%-23.7%0.260.072.1x202%
Buy and hold17.7%-78.2%0.620.231114.1x1100%
1x 10x 100x 1,000x 1984 1990 1996 2002 2008 2014 2020 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -78% 1984 1990 1996 2002 2008 2014 2020 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -66.8% (2000-07-21 → 2008-04-28), recovered after 5,246 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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