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 25.1%, MDD -30.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 32.1%, drawdown -49.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.1%, MDD -30.7%, Sharpe 0.98, 75% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.8%, MDD -45.2%, exposure 89%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.9%p lower than buy and hold, while drawdown improves by 19.0%p (CAGR 25.1%, MDD -30.7%, exposure 75%).
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 |
25.1% | -30.7% | 0.98 | 0.82 | 4.1x | 30 | 75% |
| Donchian 채널 돌파 entryN=7, exitN=52 |
26.8% | -45.2% | 0.94 | 0.59 | 4.4x | 18 | 89% |
| EMA 크로스오버 fast=22, slow=94 |
22.2% | -21.7% | 0.93 | 1.02 | 3.5x | 12 | 71% |
| Supertrend period=13, mult=4.1 |
21.2% | -35.3% | 0.91 | 0.60 | 3.3x | 24 | 62% |
| SMA 크로스오버 fast=57, slow=156 |
22.5% | -28.5% | 0.90 | 0.79 | 3.6x | 6 | 73% |
| ADX / DI 방향성 period=27, threshold=11 |
19.6% | -26.2% | 0.90 | 0.75 | 3.1x | 58 | 60% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=23, mult=1.7 |
16.3% | -22.4% | 0.86 | 0.73 | 2.6x | 36 | 46% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
13.7% | -28.4% | 0.71 | 0.48 | 2.2x | 32 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
13.3% | -48.2% | 0.65 | 0.28 | 2.2x | 58 | 57% |
| MACD fast=15, slow=52, signal=11 |
8.5% | -33.3% | 0.49 | 0.25 | 1.7x | 88 | 47% |
| Buy and hold | 32.1% | -49.6% | 1.01 | 0.65 | 5.7x | 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