Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amplitude, Inc. backtest
10 trend-following strategies were compared on the full daily history of Amplitude, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.3%, MDD -13.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.1%, drawdown -93.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.8%, MDD -24.0%, Sharpe 0.60, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 69.4%p (CAGR 4.3%, MDD -13.4%, exposure 6%).
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=12, threshold=0.23 |
7.8% | -24.0% | 0.60 | 0.33 | 1.5x | 24 | 5% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=12, mult=3.8 |
4.3% | -13.4% | 0.40 | 0.32 | 1.2x | 3 | 6% |
| ADX / DI 방향성 period=50, threshold=11 |
6.0% | -24.8% | 0.38 | 0.24 | 1.3x | 15 | 12% |
| SMA 크로스오버 fast=22, slow=50 |
6.3% | -44.1% | 0.35 | 0.14 | 1.4x | 19 | 41% |
| Supertrend period=9, mult=3.8 |
4.1% | -66.5% | 0.30 | 0.06 | 1.2x | 19 | 42% |
| Donchian 채널 돌파 entryN=106, exitN=27 |
4.0% | -35.8% | 0.29 | 0.11 | 1.2x | 7 | 14% |
| EMA 크로스오버 fast=6, slow=118 |
3.4% | -51.5% | 0.26 | 0.07 | 1.2x | 15 | 28% |
| 볼린저 밴드 돌파 n=47, k=2 |
3.4% | -39.1% | 0.26 | 0.09 | 1.2x | 15 | 20% |
| MACD fast=29, slow=53, signal=23 |
-11.4% | -76.3% | 0.07 | -0.15 | 0.5x | 30 | 57% |
| Parabolic SAR step=0.005, maxStep=0.42 |
-16.0% | -85.5% | -0.08 | -0.19 | 0.4x | 43 | 40% |
| Buy and hold | -24.1% | -93.4% | -0.06 | -0.26 | 0.3x | 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 12-day return is greater than 23%
- Sell — Sell when the 12-day return drops to 23% or below