Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amplitech Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Amplitech Group, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 26.7%, MDD -27.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -96.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 26.7%, MDD -27.5%, Sharpe 0.74, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 33.8%, MDD -53.8%, exposure 11%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.7%p higher than buy and hold, while drawdown improves by 68.8%p (CAGR 26.7%, MDD -27.5%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=37, mult=3.2 |
26.7% | -27.5% | 0.74 | 0.97 | 3.7x | 6 | 3% |
| Donchian 채널 돌파 entryN=107, exitN=6 |
33.8% | -53.8% | 0.71 | 0.63 | 5.1x | 14 | 11% |
| Supertrend period=8, mult=1.6 |
27.5% | -85.4% | 0.69 | 0.32 | 3.9x | 66 | 39% |
| MACD fast=5, slow=16, signal=18 |
24.8% | -70.5% | 0.63 | 0.35 | 3.4x | 118 | 49% |
| Parabolic SAR step=0.015, maxStep=0.22 |
16.5% | -77.3% | 0.60 | 0.21 | 2.3x | 84 | 42% |
| ADX / DI 방향성 period=12, threshold=38 |
21.2% | -69.8% | 0.56 | 0.30 | 2.9x | 24 | 12% |
| EMA 크로스오버 fast=7, slow=30 |
13.3% | -73.2% | 0.51 | 0.18 | 2.0x | 48 | 39% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
13.7% | -67.6% | 0.49 | 0.20 | 2.0x | 14 | 8% |
| SMA 크로스오버 fast=66, slow=86 |
8.0% | -77.1% | 0.43 | 0.10 | 1.5x | 21 | 39% |
| ROC 모멘텀 n=75, threshold=-0.01 |
0.1% | -74.1% | 0.36 | 0.00 | 1.0x | 73 | 40% |
| Buy and hold | -10.9% | -96.3% | 0.44 | -0.11 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 9-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average