Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alpha Metallurgical Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alpha Metallurgical Resources, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 52.9%, MDD -27.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 52.7%, drawdown -77.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 63.9%, MDD -40.2%, Sharpe 1.31, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 70.9%, MDD -47.7%, exposure 72%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 52.9%, MDD -27.4%, exposure 31%).
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=58, slow=112 |
63.9% | -40.2% | 1.31 | 1.59 | 14.9x | 8 | 56% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=3 |
52.9% | -27.4% | 1.31 | 1.93 | 10.2x | 12 | 31% |
| Donchian 채널 돌파 entryN=44, exitN=96 |
70.9% | -47.7% | 1.29 | 1.49 | 18.8x | 4 | 72% |
| EMA 크로스오버 fast=49, slow=74 |
58.9% | -45.1% | 1.18 | 1.31 | 12.6x | 12 | 65% |
| ADX / DI 방향성 period=27, threshold=15 |
46.7% | -39.3% | 1.16 | 1.19 | 8.1x | 36 | 36% |
| 볼린저 밴드 돌파 n=50, k=1.4 |
48.3% | -51.7% | 1.14 | 0.93 | 8.6x | 28 | 43% |
| ROC 모멘텀 n=90, threshold=-0.01 |
50.2% | -51.9% | 1.10 | 0.97 | 9.3x | 40 | 58% |
| Supertrend period=26, mult=5 |
45.3% | -52.9% | 1.01 | 0.86 | 7.7x | 16 | 56% |
| Parabolic SAR step=0.04, maxStep=0.1 |
41.5% | -44.3% | 1.00 | 0.94 | 6.7x | 112 | 51% |
| MACD fast=14, slow=55, signal=13 |
19.3% | -68.4% | 0.62 | 0.28 | 2.6x | 82 | 52% |
| Buy and hold | 52.7% | -77.5% | 1.00 | 0.68 | 10.1x | 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 58-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 58-day average falls below the 112-day average