Trend-Following Backtester · Guide · backtest 한국어
equity · US
APA Corporation backtest
10 trend-following strategies were compared on the full daily history of APA Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -97.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -82.0%, Sharpe 0.34, 89% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=3, exitN=50 |
5.8% | -82.0% | 0.34 | 0.07 | 14.3x | 307 | 89% |
| SMA 크로스오버 fast=22, slow=267 |
4.1% | -77.9% | 0.28 | 0.05 | 6.7x | 81 | 54% |
| EMA 크로스오버 fast=42, slow=248 |
2.6% | -76.0% | 0.23 | 0.03 | 3.4x | 65 | 55% |
| ADX / DI 방향성 period=27, threshold=40 |
0.3% | -9.7% | 0.19 | 0.04 | 1.2x | 2 | 0% |
| Supertrend period=14, mult=4.8 |
0.7% | -80.3% | 0.17 | 0.01 | 1.4x | 166 | 57% |
| MACD fast=19, slow=36, signal=24 |
0.2% | -85.9% | 0.16 | 0.00 | 1.1x | 479 | 51% |
| ROC 모멘텀 n=149, threshold=-0.11 |
-1.2% | -88.6% | 0.13 | -0.01 | 0.6x | 309 | 71% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.9% | -92.5% | 0.08 | -0.02 | 0.4x | 396 | 51% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
-4.0% | -94.0% | -0.04 | -0.04 | 0.1x | 306 | 42% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.8 |
-3.0% | -85.6% | -0.04 | -0.04 | 0.2x | 210 | 31% |
| Buy and hold | 5.1% | -97.3% | 0.34 | 0.05 | 10.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 3 days
- Sell — Sell when price breaks below the lowest low of the last 50 days