Trend-Following Backtester · Guide · backtest 한국어
equity · US
Appian Corporation backtest
10 trend-following strategies were compared on the full daily history of Appian Corporation. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.0%, MDD -33.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.5%, drawdown -92.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.0%, MDD -33.9%, Sharpe 0.56, 2% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 58.1%p (CAGR 9.0%, MDD -33.9%, exposure 2%).
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=5, atrPeriod=15, mult=2.4 |
9.0% | -33.9% | 0.56 | 0.27 | 2.2x | 12 | 2% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
5.2% | -19.7% | 0.49 | 0.26 | 1.6x | 8 | 3% |
| ADX / DI 방향성 period=17, threshold=21 |
8.1% | -56.7% | 0.40 | 0.14 | 2.0x | 48 | 19% |
| ROC 모멘텀 n=147, threshold=0.11 |
4.2% | -65.5% | 0.30 | 0.06 | 1.5x | 62 | 34% |
| SMA 크로스오버 fast=50, slow=138 |
1.6% | -70.7% | 0.26 | 0.02 | 1.2x | 18 | 45% |
| Donchian 채널 돌파 entryN=36, exitN=25 |
1.6% | -84.6% | 0.25 | 0.02 | 1.2x | 35 | 37% |
| EMA 크로스오버 fast=41, slow=122 |
1.3% | -75.9% | 0.24 | 0.02 | 1.1x | 16 | 41% |
| Supertrend period=8, mult=4.4 |
0.8% | -84.3% | 0.23 | 0.01 | 1.1x | 35 | 41% |
| MACD fast=15, slow=22, signal=12 |
-5.8% | -92.6% | 0.13 | -0.06 | 0.6x | 153 | 50% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-8.7% | -92.1% | 0.03 | -0.09 | 0.4x | 233 | 45% |
| Buy and hold | 6.5% | -92.0% | 0.42 | 0.07 | 1.8x | 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 5-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 5-day average