Trend-Following Backtester · Guide · backtest 한국어
equity · US
AMN Healthcare Services Inc backtest
10 trend-following strategies were compared on the full daily history of AMN Healthcare Services Inc. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.8%, MDD -46.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.8%, drawdown -90.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -73.1%, Sharpe 0.52, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 5.8%, MDD -46.7%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=36, exitN=54 |
12.2% | -73.1% | 0.52 | 0.17 | 17.1x | 51 | 59% |
| SMA 크로스오버 fast=33, slow=122 |
8.9% | -58.7% | 0.43 | 0.15 | 8.1x | 49 | 54% |
| EMA 크로스오버 fast=58, slow=67 |
8.6% | -64.1% | 0.42 | 0.13 | 7.8x | 49 | 56% |
| Supertrend period=10, mult=5 |
8.0% | -70.1% | 0.41 | 0.11 | 6.7x | 71 | 51% |
| ROC 모멘텀 n=88, threshold=-0.01 |
7.1% | -63.4% | 0.38 | 0.11 | 5.4x | 219 | 56% |
| 볼린저 밴드 돌파 n=54, k=1.9 |
5.8% | -46.7% | 0.36 | 0.12 | 4.1x | 93 | 36% |
| ADX / DI 방향성 period=39, threshold=11 |
5.2% | -74.2% | 0.33 | 0.07 | 3.5x | 181 | 41% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=14, mult=1.6 |
5.1% | -74.4% | 0.32 | 0.07 | 3.4x | 137 | 41% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.0% | -80.4% | 0.08 | -0.03 | 0.6x | 202 | 54% |
| MACD fast=18, slow=57, signal=18 |
-7.2% | -92.2% | -0.06 | -0.08 | 0.2x | 264 | 53% |
| Buy and hold | 1.8% | -90.0% | 0.27 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 36 days
- Sell — Sell when price breaks below the lowest low of the last 54 days