Trend-Following Backtester · Guide · backtest 한국어
equity · IN
APAR Industries Limited backtest
10 trend-following strategies were compared on the full daily history of APAR Industries Limited. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 32.0%, MDD -44.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 32.4%, drawdown -83.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 35.8%, MDD -53.8%, Sharpe 1.01, 64% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 32.0%, MDD -44.0%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=76 |
35.8% | -53.8% | 1.01 | 0.67 | 874.0x | 57 | 64% |
| SMA 크로스오버 fast=6, slow=90 |
34.8% | -48.0% | 0.99 | 0.72 | 740.7x | 81 | 62% |
| Supertrend period=4, mult=4.1 |
33.4% | -62.5% | 0.96 | 0.53 | 585.4x | 57 | 66% |
| 볼린저 밴드 돌파 n=78, k=0.4 |
32.0% | -44.0% | 0.96 | 0.73 | 465.4x | 125 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.3 |
29.8% | -35.5% | 0.94 | 0.84 | 319.0x | 105 | 50% |
| ROC 모멘텀 n=77, threshold=-0.07 |
33.2% | -60.1% | 0.93 | 0.55 | 566.8x | 163 | 71% |
| Donchian 채널 돌파 entryN=37, exitN=40 |
29.1% | -55.7% | 0.89 | 0.52 | 283.7x | 51 | 60% |
| ADX / DI 방향성 period=38, threshold=13 |
26.4% | -56.3% | 0.85 | 0.47 | 178.3x | 119 | 55% |
| MACD fast=31, slow=67, signal=16 |
18.5% | -54.4% | 0.66 | 0.34 | 43.0x | 189 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
15.3% | -61.9% | 0.59 | 0.25 | 23.2x | 175 | 57% |
| Buy and hold | 32.4% | -83.0% | 0.83 | 0.39 | 497.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 76-day EMA
- Sell — Sell when the 19-day EMA falls below the 76-day EMA