Trend-Following Backtester · Guide · backtest 한국어
equity · US
Apple Inc. backtest
10 trend-following strategies were compared on the full daily history of Apple Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.2%, MDD -56.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.6%, drawdown -82.2%).
Sharpe leader (same as main): Supertrend — CAGR 18.2%, MDD -56.6%, Sharpe 0.72, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.2%, MDD -70.8%, exposure 72%.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 25.6%p (CAGR 18.2%, MDD -56.6%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=3.3 |
18.2% | -56.6% | 0.72 | 0.32 | 2070.2x | 293 | 57% |
| Donchian 채널 돌파 entryN=27, exitN=47 |
20.2% | -70.8% | 0.71 | 0.29 | 4421.6x | 121 | 72% |
| EMA 크로스오버 fast=4, slow=134 |
17.2% | -82.8% | 0.67 | 0.21 | 1423.7x | 203 | 64% |
| 볼린저 밴드 돌파 n=39, k=1.2 |
14.9% | -75.4% | 0.66 | 0.20 | 572.4x | 339 | 47% |
| Parabolic SAR step=0.005, maxStep=0.26 |
15.7% | -52.9% | 0.64 | 0.30 | 776.9x | 385 | 55% |
| SMA 크로스오버 fast=4, slow=103 |
15.5% | -77.9% | 0.62 | 0.20 | 723.8x | 253 | 62% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=25, mult=3.3 |
11.4% | -56.3% | 0.60 | 0.20 | 135.7x | 167 | 33% |
| ROC 모멘텀 n=113, threshold=-0.02 |
14.2% | -92.4% | 0.57 | 0.15 | 425.1x | 303 | 67% |
| ADX / DI 방향성 period=21, threshold=19 |
10.7% | -53.1% | 0.56 | 0.20 | 101.5x | 349 | 34% |
| MACD fast=17, slow=53, signal=22 |
9.7% | -66.1% | 0.46 | 0.15 | 67.4x | 467 | 52% |
| Buy and hold | 18.6% | -82.2% | 0.61 | 0.23 | 2394.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)