Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amplify Energy Corp. backtest
10 trend-following strategies were compared on the full daily history of Amplify Energy Corp.. 10 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 5.6%, MDD -33.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.6%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.6%, MDD -33.6%, Sharpe 0.38, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 28.7%, MDD -86.3%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.1%p higher than buy and hold, while drawdown improves by 66.4%p (CAGR 5.6%, MDD -33.6%, exposure 4%).
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=36, threshold=24 |
5.6% | -33.6% | 0.38 | 0.17 | 2.2x | 10 | 4% |
| MACD fast=10, slow=39, signal=6 |
19.3% | -98.4% | 0.27 | 0.20 | 12.5x | 284 | 52% |
| ROC 모멘텀 n=15, threshold=-0.02 |
23.5% | -91.3% | 0.27 | 0.26 | 20.3x | 366 | 52% |
| Supertrend period=13, mult=2.4 |
28.4% | -80.7% | 0.27 | 0.35 | 35.6x | 116 | 45% |
| SMA 크로스오버 fast=52, slow=118 |
28.7% | -86.3% | 0.27 | 0.33 | 36.8x | 38 | 41% |
| Parabolic SAR step=0.03, maxStep=0.22 |
14.8% | -96.3% | 0.26 | 0.15 | 7.2x | 358 | 46% |
| Donchian 채널 돌파 entryN=92, exitN=62 |
1.8% | -73.7% | 0.25 | 0.02 | 1.3x | 16 | 36% |
| 볼린저 밴드 돌파 n=17, k=1.5 |
-3.8% | -86.0% | 0.17 | -0.04 | 0.6x | 178 | 33% |
| EMA 크로스오버 fast=37, slow=247 |
-6.3% | -78.2% | 0.03 | -0.08 | 0.4x | 20 | 34% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=17, mult=3.9 |
-5.6% | -69.0% | -0.08 | -0.08 | 0.4x | 16 | 7% |
| Buy and hold | -22.6% | -100.0% | 0.26 | -0.23 | 0.0x | 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, 36-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)