Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
APT backtest
10 trend-following strategies were compared on the full daily history of APT. 10 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 30.9%, MDD -25.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -49.5%, drawdown -97.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 30.9%, MDD -25.0%, Sharpe 0.84, 6% exposure.
CAGR reference leader: Supertrend — CAGR 40.4%, MDD -71.5%, exposure 36%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 80.5%p higher than buy and hold, while drawdown improves by 72.2%p (CAGR 30.9%, MDD -25.0%, exposure 6%).
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=7, atrPeriod=25, mult=1.8 |
30.9% | -25.0% | 0.84 | 1.24 | 2.8x | 12 | 6% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
32.0% | -28.7% | 0.82 | 1.12 | 2.9x | 6 | 7% |
| Supertrend period=26, mult=4.2 |
40.4% | -71.5% | 0.81 | 0.56 | 3.7x | 11 | 36% |
| Donchian 채널 돌파 entryN=51, exitN=6 |
31.6% | -41.0% | 0.77 | 0.77 | 2.9x | 14 | 13% |
| ADX / DI 방향성 period=15, threshold=29 |
21.9% | -53.7% | 0.62 | 0.41 | 2.1x | 26 | 13% |
| ROC 모멘텀 n=74, threshold=0.14 |
19.3% | -47.5% | 0.58 | 0.41 | 2.0x | 32 | 23% |
| EMA 크로스오버 fast=11, slow=191 |
9.0% | -53.6% | 0.42 | 0.17 | 1.4x | 6 | 19% |
| SMA 크로스오버 fast=18, slow=154 |
2.5% | -53.6% | 0.29 | 0.05 | 1.1x | 6 | 23% |
| MACD fast=9, slow=49, signal=17 |
-12.7% | -87.7% | 0.18 | -0.15 | 0.6x | 80 | 52% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-21.7% | -90.6% | -0.05 | -0.24 | 0.4x | 116 | 41% |
| Buy and hold | -49.5% | -97.2% | -0.20 | -0.51 | 0.1x | 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 7-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average