Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amneal Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Amneal Pharmaceuticals, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.3%, MDD -38.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.8%, drawdown -94.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.0%, MDD -46.7%, Sharpe 0.70, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.2%, MDD -46.3%, exposure 52%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 18.2%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 17.3%, MDD -38.3%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=159 |
20.0% | -46.7% | 0.70 | 0.43 | 4.6x | 15 | 49% |
| SMA 크로스오버 fast=44, slow=284 |
20.2% | -46.3% | 0.69 | 0.44 | 4.6x | 7 | 52% |
| Donchian 채널 돌파 entryN=156, exitN=79 |
17.3% | -38.3% | 0.68 | 0.45 | 3.8x | 5 | 39% |
| Supertrend period=6, mult=3.7 |
17.4% | -60.3% | 0.57 | 0.29 | 3.8x | 33 | 60% |
| ROC 모멘텀 n=118, threshold=0.13 |
14.9% | -59.0% | 0.57 | 0.25 | 3.2x | 49 | 40% |
| ADX / DI 방향성 period=29, threshold=16 |
13.2% | -59.3% | 0.54 | 0.22 | 2.8x | 42 | 36% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=2.3 |
10.1% | -55.3% | 0.45 | 0.18 | 2.2x | 34 | 32% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
9.5% | -63.3% | 0.42 | 0.15 | 2.1x | 62 | 42% |
| MACD fast=19, slow=47, signal=18 |
1.2% | -76.2% | 0.26 | 0.02 | 1.1x | 88 | 52% |
| Parabolic SAR step=0.025, maxStep=0.14 |
0.6% | -75.6% | 0.23 | 0.01 | 1.1x | 197 | 52% |
| Buy and hold | 1.8% | -94.8% | 0.34 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 159-day EMA
- Sell — Sell when the 9-day EMA falls below the 159-day EMA