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.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 57.2%, MDD -27.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 67.3%, drawdown -77.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 57.2%, MDD -27.4%, Sharpe 1.39, 31% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 72.9%, MDD -47.7%, exposure 71%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p lower than buy and hold, while drawdown improves by 50.1%p (CAGR 57.2%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=3 |
57.2% | -27.4% | 1.39 | 2.09 | 12.3x | 13 | 31% |
| ADX / DI 방향성 period=27, threshold=15 |
57.0% | -39.3% | 1.32 | 1.45 | 12.3x | 37 | 36% |
| Donchian 채널 돌파 entryN=44, exitN=96 |
72.9% | -47.7% | 1.32 | 1.53 | 21.0x | 5 | 71% |
| SMA 크로스오버 fast=58, slow=112 |
62.7% | -40.2% | 1.30 | 1.56 | 14.9x | 8 | 55% |
| 볼린저 밴드 돌파 n=50, k=1.4 |
52.4% | -51.7% | 1.21 | 1.01 | 10.4x | 29 | 43% |
| EMA 크로스오버 fast=49, slow=74 |
57.8% | -45.1% | 1.17 | 1.28 | 12.6x | 12 | 64% |
| Parabolic SAR step=0.04, maxStep=0.1 |
53.3% | -44.3% | 1.17 | 1.20 | 10.8x | 113 | 52% |
| ROC 모멘텀 n=90, threshold=-0.01 |
54.4% | -51.9% | 1.16 | 1.05 | 11.2x | 41 | 58% |
| Supertrend period=26, mult=5 |
49.4% | -52.9% | 1.07 | 0.93 | 9.3x | 17 | 56% |
| MACD fast=14, slow=55, signal=13 |
29.6% | -68.4% | 0.81 | 0.43 | 4.2x | 83 | 53% |
| Buy and hold | 67.3% | -77.5% | 1.15 | 0.87 | 17.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 47-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average