Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amcor plc backtest
10 trend-following strategies were compared on the full daily history of Amcor plc. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -11.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.0%, drawdown -53.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -11.9%, Sharpe 0.28, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 1.7%, MDD -11.9%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=64, threshold=28 |
1.7% | -11.9% | 0.28 | 0.14 | 1.3x | 8 | 12% |
| ROC 모멘텀 n=126, threshold=0.14 |
0.1% | -17.0% | 0.05 | 0.00 | 1.0x | 40 | 14% |
| Donchian 채널 돌파 entryN=23, exitN=63 |
-1.8% | -57.6% | 0.01 | -0.03 | 0.8x | 53 | 71% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
-0.8% | -30.8% | -0.06 | -0.03 | 0.9x | 14 | 9% |
| SMA 크로스오버 fast=21, slow=65 |
-2.8% | -54.3% | -0.08 | -0.05 | 0.7x | 65 | 52% |
| EMA 크로스오버 fast=35, slow=46 |
-3.3% | -55.9% | -0.12 | -0.06 | 0.6x | 47 | 51% |
| MACD fast=18, slow=32, signal=18 |
-3.5% | -55.2% | -0.12 | -0.06 | 0.6x | 155 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=17, mult=4 |
-2.5% | -42.6% | -0.27 | -0.06 | 0.7x | 48 | 21% |
| Supertrend period=29, mult=3.2 |
-7.3% | -75.7% | -0.34 | -0.10 | 0.3x | 135 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-8.6% | -78.5% | -0.43 | -0.11 | 0.3x | 181 | 53% |
| Buy and hold | 1.0% | -53.4% | 0.17 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 64-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)