Trend-Following Backtester · Guide · backtest 한국어
equity · TW
AP Memory Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of AP Memory Technology Corp.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 37.0%, MDD -39.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 30.4%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 52.2%, MDD -49.0%, Sharpe 1.23, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 37.0%, MDD -39.4%, exposure 55%).
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=45, slow=107 |
52.2% | -49.0% | 1.23 | 1.07 | 111.2x | 17 | 50% |
| EMA 크로스오버 fast=42, slow=99 |
48.3% | -49.0% | 1.14 | 0.99 | 83.4x | 9 | 65% |
| Donchian 채널 돌파 entryN=99, exitN=85 |
45.7% | -49.0% | 1.10 | 0.93 | 68.0x | 9 | 60% |
| 볼린저 밴드 돌파 n=19, k=1.1 |
37.0% | -39.4% | 1.06 | 0.94 | 34.1x | 109 | 55% |
| ROC 모멘텀 n=18, threshold=-0.02 |
39.4% | -45.0% | 1.04 | 0.88 | 41.6x | 175 | 66% |
| MACD fast=18, slow=55, signal=8 |
36.0% | -49.2% | 1.01 | 0.73 | 31.5x | 109 | 41% |
| Supertrend period=5, mult=3.7 |
35.9% | -48.4% | 0.97 | 0.74 | 31.2x | 39 | 65% |
| ADX / DI 방향성 period=24, threshold=12 |
34.6% | -49.1% | 0.96 | 0.70 | 28.0x | 88 | 63% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=4 |
21.1% | -23.2% | 0.94 | 0.91 | 8.6x | 14 | 32% |
| Parabolic SAR step=0.025, maxStep=0.18 |
28.4% | -58.4% | 0.86 | 0.49 | 16.5x | 178 | 44% |
| Buy and hold | 30.4% | -76.7% | 0.78 | 0.40 | 19.7x | 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 45-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 45-day average falls below the 107-day average