Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amtech Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Amtech Systems, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 1.0%, drawdown -96.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -87.0%, Sharpe 0.41, 47% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=119 |
8.2% | -87.0% | 0.41 | 0.09 | 30.1x | 93 | 47% |
| ROC 모멘텀 n=126, threshold=0.03 |
1.4% | -97.8% | 0.29 | 0.01 | 1.8x | 388 | 46% |
| Supertrend period=35, mult=5 |
-3.5% | -99.6% | 0.25 | -0.03 | 0.2x | 110 | 42% |
| EMA 크로스오버 fast=55, slow=165 |
-2.0% | -96.9% | 0.25 | -0.02 | 0.4x | 71 | 48% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-5.8% | -99.3% | 0.23 | -0.06 | 0.1x | 704 | 48% |
| Donchian 채널 돌파 entryN=108, exitN=106 |
-8.1% | -100.0% | 0.19 | -0.08 | 0.0x | 63 | 53% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=3.2 |
0.2% | -79.6% | 0.18 | 0.00 | 1.1x | 114 | 18% |
| MACD fast=19, slow=56, signal=22 |
-12.3% | -99.9% | 0.16 | -0.12 | 0.0x | 396 | 51% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
-2.4% | -94.2% | 0.15 | -0.03 | 0.4x | 122 | 22% |
| ADX / DI 방향성 period=38, threshold=15 |
-10.5% | -99.6% | 0.12 | -0.11 | 0.0x | 198 | 38% |
| Buy and hold | 1.0% | -96.2% | 0.49 | 0.01 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 49-day average falls below the 119-day average