Trend-Following Backtester · Guide · backtest 한국어
equity · US
AppFolio, Inc. backtest
10 trend-following strategies were compared on the full daily history of AppFolio, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 28.1%, MDD -41.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 28.5%, drawdown -55.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.5%, MDD -30.5%, Sharpe 1.03, 31% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 28.1%, MDD -41.3%, exposure 67%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.0%p lower than buy and hold, while drawdown improves by 24.9%p (CAGR 28.1%, MDD -41.3%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=5, mult=3.2 |
20.5% | -30.5% | 1.03 | 0.67 | 8.0x | 23 | 31% |
| EMA 크로스오버 fast=70, slow=192 |
28.1% | -41.3% | 0.86 | 0.68 | 16.0x | 6 | 67% |
| Supertrend period=18, mult=5 |
20.6% | -59.3% | 0.80 | 0.35 | 8.1x | 29 | 53% |
| SMA 크로스오버 fast=23, slow=187 |
22.9% | -41.3% | 0.78 | 0.55 | 10.1x | 19 | 60% |
| Donchian 채널 돌파 entryN=76, exitN=43 |
18.0% | -49.0% | 0.74 | 0.37 | 6.4x | 21 | 51% |
| ADX / DI 방향성 period=50, threshold=9 |
16.2% | -41.6% | 0.70 | 0.39 | 5.4x | 79 | 44% |
| 볼린저 밴드 돌파 n=38, k=2.3 |
11.8% | -52.3% | 0.64 | 0.23 | 3.5x | 45 | 32% |
| MACD fast=3, slow=47, signal=13 |
10.4% | -46.7% | 0.48 | 0.22 | 3.0x | 261 | 53% |
| ROC 모멘텀 n=87, threshold=0.07 |
9.6% | -72.4% | 0.47 | 0.13 | 2.8x | 113 | 48% |
| Parabolic SAR step=0.01, maxStep=0.38 |
6.0% | -70.8% | 0.34 | 0.08 | 1.9x | 149 | 57% |
| Buy and hold | 28.5% | -55.4% | 0.79 | 0.52 | 16.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 49-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 49-day average