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.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 37.7%, MDD -39.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 26.9%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 48.2%, MDD -49.0%, Sharpe 1.17, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.3%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 37.7%, MDD -39.4%, exposure 54%).
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 |
48.2% | -49.0% | 1.17 | 0.98 | 80.0x | 17 | 50% |
| EMA 크로스오버 fast=42, slow=99 |
44.4% | -49.0% | 1.09 | 0.91 | 60.0x | 9 | 64% |
| 볼린저 밴드 돌파 n=19, k=1.1 |
37.7% | -39.4% | 1.08 | 0.95 | 35.2x | 108 | 54% |
| Donchian 채널 돌파 entryN=99, exitN=85 |
41.8% | -49.0% | 1.04 | 0.85 | 49.0x | 9 | 60% |
| ROC 모멘텀 n=18, threshold=-0.02 |
39.2% | -45.0% | 1.04 | 0.87 | 39.8x | 170 | 66% |
| MACD fast=18, slow=55, signal=8 |
36.7% | -49.2% | 1.03 | 0.75 | 32.5x | 108 | 41% |
| ADX / DI 방향성 period=24, threshold=12 |
37.7% | -49.1% | 1.02 | 0.77 | 35.3x | 84 | 63% |
| Supertrend period=5, mult=3.7 |
36.6% | -48.4% | 0.99 | 0.76 | 32.2x | 38 | 65% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=4 |
21.3% | -23.2% | 0.94 | 0.92 | 8.6x | 14 | 32% |
| Parabolic SAR step=0.025, maxStep=0.18 |
27.9% | -58.4% | 0.85 | 0.48 | 15.6x | 176 | 44% |
| Buy and hold | 26.9% | -76.7% | 0.73 | 0.35 | 14.2x | 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