Trend-Following Backtester · Guide · backtest 한국어
equity · US
Apollo Global Management, Inc. (New) backtest
10 trend-following strategies were compared on the full daily history of Apollo Global Management, Inc. (New). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.2%, MDD -35.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.4%, drawdown -65.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.2%, MDD -35.9%, Sharpe 0.61, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 12.2%, MDD -35.9%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=77 |
12.2% | -35.9% | 0.61 | 0.34 | 5.9x | 42 | 60% |
| SMA 크로스오버 fast=8, slow=129 |
11.7% | -47.2% | 0.59 | 0.25 | 5.4x | 46 | 60% |
| Supertrend period=22, mult=3.9 |
10.8% | -44.4% | 0.55 | 0.24 | 4.8x | 62 | 58% |
| 볼린저 밴드 돌파 n=129, k=1.2 |
9.4% | -37.1% | 0.54 | 0.25 | 4.0x | 32 | 48% |
| ROC 모멘텀 n=121, threshold=0.09 |
8.8% | -49.8% | 0.50 | 0.18 | 3.7x | 104 | 48% |
| Donchian 채널 돌파 entryN=43, exitN=74 |
9.2% | -47.6% | 0.47 | 0.19 | 3.8x | 31 | 68% |
| MACD fast=23, slow=34, signal=20 |
6.3% | -61.5% | 0.38 | 0.10 | 2.6x | 156 | 49% |
| Parabolic SAR step=0.015, maxStep=0.08 |
5.3% | -54.9% | 0.33 | 0.10 | 2.2x | 249 | 53% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=24, mult=1.7 |
4.2% | -38.0% | 0.32 | 0.11 | 1.9x | 114 | 36% |
| ADX / DI 방향성 period=26, threshold=12 |
3.6% | -45.6% | 0.28 | 0.08 | 1.7x | 176 | 43% |
| Buy and hold | 13.4% | -65.2% | 0.53 | 0.21 | 6.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 77-day EMA
- Sell — Sell when the 18-day EMA falls below the 77-day EMA