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. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.2%, MDD -56.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.0%, drawdown -92.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.9%, MDD -33.9%, Sharpe 0.55, 2% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 12.2%, MDD -56.7%, exposure 20%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 58.1%p (CAGR 12.2%, MDD -56.7%, exposure 20%).
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 |
8.9% | -33.9% | 0.55 | 0.26 | 2.2x | 12 | 2% |
| ADX / DI 방향성 period=17, threshold=21 |
12.2% | -56.7% | 0.51 | 0.22 | 2.9x | 49 | 20% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
5.2% | -19.7% | 0.49 | 0.26 | 1.6x | 8 | 3% |
| Donchian 채널 돌파 entryN=36, exitN=25 |
6.9% | -84.6% | 0.37 | 0.08 | 1.9x | 35 | 38% |
| Supertrend period=8, mult=4.4 |
6.0% | -84.3% | 0.35 | 0.07 | 1.7x | 35 | 41% |
| SMA 크로스오버 fast=50, slow=138 |
5.6% | -70.7% | 0.34 | 0.08 | 1.7x | 19 | 46% |
| ROC 모멘텀 n=147, threshold=0.11 |
5.8% | -65.5% | 0.34 | 0.09 | 1.7x | 63 | 34% |
| EMA 크로스오버 fast=41, slow=122 |
5.1% | -75.9% | 0.33 | 0.07 | 1.6x | 17 | 42% |
| MACD fast=15, slow=22, signal=12 |
-0.9% | -92.6% | 0.23 | -0.01 | 0.9x | 153 | 50% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-3.9% | -92.1% | 0.14 | -0.04 | 0.7x | 233 | 46% |
| Buy and hold | 12.0% | -92.0% | 0.50 | 0.13 | 2.8x | 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