Trend-Following Backtester · Guide · backtest 한국어
equity · US
APi Group Corporation backtest
10 trend-following strategies were compared on the full daily history of APi Group Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 23.8%, MDD -30.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 31.4%, drawdown -49.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.8%, MDD -30.7%, Sharpe 0.94, 74% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 25.2%, MDD -45.2%, exposure 89%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.5%p lower than buy and hold, while drawdown improves by 19.0%p (CAGR 23.8%, MDD -30.7%, exposure 74%).
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=123, threshold=-0.02 |
23.8% | -30.7% | 0.94 | 0.78 | 3.9x | 34 | 74% |
| Donchian 채널 돌파 entryN=7, exitN=52 |
25.2% | -45.2% | 0.90 | 0.56 | 4.1x | 19 | 89% |
| SMA 크로스오버 fast=57, slow=156 |
22.1% | -28.5% | 0.90 | 0.78 | 3.6x | 6 | 72% |
| EMA 크로스오버 fast=22, slow=94 |
20.7% | -21.7% | 0.88 | 0.95 | 3.3x | 14 | 71% |
| ADX / DI 방향성 period=27, threshold=11 |
17.9% | -26.2% | 0.83 | 0.68 | 2.8x | 60 | 60% |
| Supertrend period=13, mult=4.1 |
18.7% | -35.3% | 0.82 | 0.53 | 3.0x | 25 | 62% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=23, mult=1.7 |
14.8% | -22.4% | 0.80 | 0.66 | 2.4x | 38 | 46% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
12.6% | -28.4% | 0.67 | 0.44 | 2.1x | 34 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
12.1% | -48.2% | 0.60 | 0.25 | 2.1x | 60 | 57% |
| MACD fast=15, slow=52, signal=11 |
7.7% | -33.3% | 0.46 | 0.23 | 1.6x | 90 | 47% |
| Buy and hold | 31.4% | -49.6% | 0.99 | 0.63 | 5.6x | 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 123-day return is greater than -2%
- Sell — Sell when the 123-day return drops to -2% or below