Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amphenol Corporation backtest
10 trend-following strategies were compared on the full daily history of Amphenol Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.9%, MDD -38.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.3%, drawdown -63.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.4%, MDD -56.7%, Sharpe 0.76, 87% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 6.7%p (CAGR 17.9%, MDD -38.0%, exposure 70%).
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=56, exitN=168 |
20.4% | -56.7% | 0.76 | 0.36 | 641.2x | 25 | 87% |
| SMA 크로스오버 fast=48, slow=105 |
17.9% | -38.0% | 0.75 | 0.47 | 305.7x | 75 | 70% |
| ROC 모멘텀 n=124, threshold=-0.1 |
18.7% | -62.3% | 0.72 | 0.30 | 392.0x | 123 | 85% |
| EMA 크로스오버 fast=40, slow=105 |
15.7% | -69.3% | 0.67 | 0.23 | 162.3x | 59 | 75% |
| Keltner 채널 돌파 emaPeriod=110, atrPeriod=25, mult=1.3 |
11.8% | -58.6% | 0.57 | 0.20 | 48.5x | 187 | 67% |
| ADX / DI 방향성 period=39, threshold=27 |
3.1% | -21.9% | 0.36 | 0.14 | 2.9x | 14 | 5% |
| Supertrend period=28, mult=5 |
5.9% | -80.7% | 0.35 | 0.07 | 7.3x | 141 | 67% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
4.6% | -52.2% | 0.31 | 0.09 | 4.7x | 238 | 52% |
| MACD fast=16, slow=25, signal=17 |
4.3% | -51.5% | 0.30 | 0.08 | 4.3x | 492 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
1.8% | -60.2% | 0.19 | 0.03 | 1.9x | 494 | 58% |
| Buy and hold | 22.3% | -63.4% | 0.74 | 0.35 | 1091.5x | 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 56 days
- Sell — Sell when price breaks below the lowest low of the last 168 days