Trend-Following Backtester · Guide · backtest 한국어
equity · US
Applied Industrial Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Applied Industrial Technologies, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -67.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -73.9%, Sharpe 0.45, 94% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=40, threshold=-0.14 |
9.1% | -73.9% | 0.45 | 0.12 | 57.4x | 179 | 94% |
| Donchian 채널 돌파 entryN=2, exitN=75 |
8.9% | -70.9% | 0.43 | 0.13 | 51.7x | 219 | 95% |
| Supertrend period=30, mult=3.4 |
4.1% | -78.1% | 0.29 | 0.05 | 6.6x | 345 | 56% |
| EMA 크로스오버 fast=50, slow=207 |
3.6% | -66.3% | 0.26 | 0.05 | 5.1x | 69 | 71% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.2% | -75.4% | 0.25 | 0.04 | 4.4x | 571 | 54% |
| SMA 크로스오버 fast=40, slow=191 |
3.2% | -61.7% | 0.25 | 0.05 | 4.3x | 83 | 65% |
| MACD fast=20, slow=58, signal=20 |
1.5% | -77.7% | 0.18 | 0.02 | 2.0x | 451 | 51% |
| 볼린저 밴드 돌파 n=34, k=1.5 |
0.8% | -71.4% | 0.13 | 0.01 | 1.4x | 387 | 39% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=3.2 |
0.5% | -58.1% | 0.11 | 0.01 | 1.3x | 192 | 31% |
| ADX / DI 방향성 period=37, threshold=14 |
-1.2% | -64.8% | 0.00 | -0.02 | 0.6x | 277 | 32% |
| Buy and hold | 11.5% | -67.7% | 0.50 | 0.17 | 156.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 40-day return is greater than -14%
- Sell — Sell when the 40-day return drops to -14% or below