Trend-Following Backtester · Guide · backtest 한국어
equity · CN
APT Medical Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of APT Medical Inc. Class A. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.3%, MDD -31.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.0%, drawdown -68.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.3%, MDD -31.2%, Sharpe 0.63, 56% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.1%, MDD -44.1%, exposure 74%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 17.3%, MDD -31.2%, exposure 56%).
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=62, exitN=65 |
17.3% | -31.2% | 0.63 | 0.56 | 2.5x | 7 | 56% |
| ROC 모멘텀 n=64, threshold=-0.09 |
18.1% | -44.1% | 0.62 | 0.41 | 2.6x | 45 | 74% |
| Supertrend period=9, mult=4.6 |
16.6% | -51.0% | 0.59 | 0.33 | 2.4x | 13 | 70% |
| EMA 크로스오버 fast=40, slow=68 |
14.0% | -32.5% | 0.54 | 0.43 | 2.1x | 15 | 63% |
| ADX / DI 방향성 period=10, threshold=26 |
11.6% | -48.1% | 0.53 | 0.24 | 1.9x | 71 | 31% |
| SMA 크로스오버 fast=25, slow=171 |
11.3% | -32.4% | 0.50 | 0.35 | 1.8x | 8 | 56% |
| MACD fast=11, slow=25, signal=11 |
8.2% | -57.8% | 0.41 | 0.14 | 1.6x | 85 | 49% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=18, mult=3.1 |
4.3% | -28.0% | 0.32 | 0.15 | 1.3x | 7 | 6% |
| 볼린저 밴드 돌파 n=46, k=1.9 |
4.6% | -55.3% | 0.30 | 0.08 | 1.3x | 25 | 32% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.7% | -55.3% | 0.25 | 0.05 | 1.2x | 43 | 52% |
| Buy and hold | 13.0% | -68.4% | 0.50 | 0.19 | 2.0x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 65 days