Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Apollo Micro Systems Ltd. backtest
10 trend-following strategies were compared on the full daily history of Apollo Micro Systems Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 43.2%, MDD -44.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 28.6%, drawdown -90.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 43.2%, MDD -44.6%, Sharpe 1.04, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 43.2%, MDD -44.6%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=197 |
43.2% | -44.6% | 1.04 | 0.97 | 22.0x | 13 | 61% |
| EMA 크로스오버 fast=49, slow=136 |
41.2% | -44.6% | 1.00 | 0.92 | 19.4x | 9 | 63% |
| ROC 모멘텀 n=110, threshold=-0.02 |
38.9% | -47.2% | 0.95 | 0.82 | 16.9x | 73 | 60% |
| Donchian 채널 돌파 entryN=91, exitN=71 |
31.9% | -61.1% | 0.87 | 0.52 | 10.8x | 11 | 50% |
| ADX / DI 방향성 period=16, threshold=16 |
32.7% | -55.3% | 0.86 | 0.59 | 11.4x | 92 | 49% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=3.3 |
25.9% | -45.5% | 0.82 | 0.57 | 7.2x | 22 | 30% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
27.2% | -51.7% | 0.79 | 0.53 | 7.9x | 58 | 40% |
| Supertrend period=26, mult=3.2 |
26.2% | -76.4% | 0.76 | 0.34 | 7.4x | 48 | 52% |
| MACD fast=11, slow=58, signal=19 |
21.2% | -58.9% | 0.66 | 0.36 | 5.2x | 112 | 48% |
| Parabolic SAR step=0.02, maxStep=0.26 |
15.0% | -64.8% | 0.54 | 0.23 | 3.3x | 164 | 47% |
| Buy and hold | 28.6% | -90.7% | 0.72 | 0.31 | 8.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 34-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 34-day average falls below the 197-day average