Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ameriprise Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ameriprise Financial, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -32.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -81.5%).
Sharpe leader (same as main): Supertrend — CAGR 12.7%, MDD -52.9%, Sharpe 0.61, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 28.6%p (CAGR 11.7%, MDD -32.3%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=3.5 |
12.7% | -52.9% | 0.61 | 0.24 | 12.1x | 103 | 62% |
| SMA 크로스오버 fast=8, slow=105 |
11.7% | -32.3% | 0.61 | 0.36 | 10.0x | 71 | 64% |
| EMA 크로스오버 fast=41, slow=46 |
10.5% | -34.5% | 0.56 | 0.30 | 8.0x | 51 | 64% |
| Donchian 채널 돌파 entryN=91, exitN=96 |
9.0% | -42.9% | 0.51 | 0.21 | 6.0x | 27 | 63% |
| ROC 모멘텀 n=89, threshold=0.04 |
8.6% | -42.4% | 0.50 | 0.20 | 5.6x | 165 | 54% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=16, mult=2.3 |
6.1% | -35.8% | 0.43 | 0.17 | 3.5x | 107 | 44% |
| 볼린저 밴드 돌파 n=62, k=1.8 |
6.1% | -28.6% | 0.43 | 0.21 | 3.4x | 79 | 42% |
| Parabolic SAR step=0.005, maxStep=0.28 |
6.7% | -50.3% | 0.38 | 0.13 | 3.8x | 189 | 60% |
| MACD fast=20, slow=57, signal=24 |
6.5% | -43.2% | 0.37 | 0.15 | 3.7x | 189 | 51% |
| ADX / DI 방향성 period=30, threshold=11 |
3.4% | -52.7% | 0.27 | 0.06 | 2.0x | 227 | 51% |
| Buy and hold | 13.7% | -81.5% | 0.52 | 0.17 | 14.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)