Trend-Following Backtester · Guide · Assets 한국어

Assets

Apple (AAPL) backtest

Over forty years of daily bars, spanning several crashes and recoveries — enough history to see how a strategy behaves when things break.

Data 1980-12-12 ~ 2026-09-04 Daily bars 11,525 (45.7y) Costs 0.5%Venue Nasdaq

Results by strategy

2 of 10 beat buy and hold (CAGR 18.6%, drawdown -82.2%). Sorted by CAGR.

Strategy · parameters	CAGR	Max drawdown	Sharpe	Calmar	Total return	Trades	Time in market
Donchian channel breakout entryN=15, exitN=49	21.4%	-71.0%	0.73	0.30	7080.0x	141	78%
MACD fast=41, slow=122, signal=16	18.7%	-53.8%	0.74	0.35	2539.6x	294	53%
Supertrend period=26, mult=3.4	18.1%	-55.7%	0.72	0.33	2038.6x	280	57%
Keltner channel breakout emaPeriod=154, atrPeriod=8, mult=1.3	17.8%	-81.8%	0.70	0.22	1782.0x	169	61%
Bollinger band breakout n=135, k=1.5	17.3%	-70.6%	0.72	0.25	1497.5x	87	49%
Parabolic SAR step=0.005, maxStep=0.04	17.2%	-63.7%	0.69	0.27	1420.3x	308	57%
EMA crossover fast=4, slow=135	17.1%	-84.2%	0.67	0.20	1382.2x	209	64%
SMA crossover fast=12, slow=43	15.8%	-70.7%	0.63	0.22	829.2x	288	58%
ADX / DI directional period=97, threshold=5	14.0%	-82.3%	0.60	0.17	406.5x	293	55%
ROC momentum n=53, threshold=0.06	13.6%	-62.9%	0.60	0.22	346.4x	549	49%
Buy & hold	18.6%	-82.2%	0.61	0.23	2479.8x	1	100%

Donchian channel breakout (solid) vs buy and hold (dashed). Log scale.

Donchian channel breakout maximum drawdown -71.0% (1983-06-06 peak → 1985-10-04 trough) · recovered after 1,348 days. Buy and hold uses the same scale.

Parameters were optimized over the full history. The same data chose them and scored them, so these run above live results. With two or three parameters the distortion is bounded, but read them as a relative ranking, not a return target. Settings match the backtester's defaults (0.5% costs, Sharpe objective, 120 trials). More in optimization and overfitting.

The rules, strategy by strategy

Donchian channel breakout

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Buy Buy on a breakout above the highest high of the last 15 days
Sell Sell when price breaks below the lowest low of the last 49 days

CAGR: 21.4%
Max drawdown: -71.0%
Sharpe: 0.73
Trades: 141
Time in market: 78%
Win rate: 51%

MACD

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Buy Buy when the MACD line (41/122) crosses above its 16-day signal line
Sell Sell when the MACD line crosses back below the signal line

CAGR: 18.7%
Max drawdown: -53.8%
Sharpe: 0.74
Trades: 294
Time in market: 53%
Win rate: 51%

Supertrend

Trades the direction of a volatility-based trend line that trails below/above price.

Buy Buy when price moves above the trend line (flips up) — 26-day volatility, 3.4× band
Sell Sell when price drops below the trend line (flips down)

CAGR: 18.1%
Max drawdown: -55.7%
Sharpe: 0.72
Trades: 280
Time in market: 57%
Win rate: 51%

Keltner channel breakout

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Buy Buy when the close breaks above the 154-day average + 1.3× volatility (Keltner top)
Sell Sell when the close falls back to the 154-day average

CAGR: 17.8%
Max drawdown: -81.8%
Sharpe: 0.70
Trades: 169
Time in market: 61%
Win rate: 52%

Bollinger band breakout

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Buy Buy when the close breaks above the upper band of the 135-day average (1.5× volatility)
Sell Sell when the close falls back to the 135-day middle average

CAGR: 17.3%
Max drawdown: -70.6%
Sharpe: 0.72
Trades: 87
Time in market: 49%
Win rate: 52%

Parabolic SAR

Trades around the Parabolic SAR dots that accelerate toward price.

Buy Buy when price rises above the SAR dots
Sell Sell when price falls below the SAR dots

CAGR: 17.2%
Max drawdown: -63.7%
Sharpe: 0.69
Trades: 308
Time in market: 57%
Win rate: 51%

EMA crossover

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Buy Buy when the 4-day EMA crosses above the 135-day EMA
Sell Sell when the 4-day EMA falls below the 135-day EMA

CAGR: 17.1%
Max drawdown: -84.2%
Sharpe: 0.67
Trades: 209
Time in market: 64%
Win rate: 51%

SMA crossover

When the short average rises above the long average, it reads that as an uptrend starting.

Buy Buy when the 12-day average price crosses above the 43-day average
Sell Sell (to cash) when the 12-day average falls below the 43-day average

CAGR: 15.8%
Max drawdown: -70.7%
Sharpe: 0.63
Trades: 288
Time in market: 58%
Win rate: 51%

ADX / DI directional

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Buy Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 97-day) is ≥ 5
Sell Sell when direction flips or the trend weakens (ADX < 5)

CAGR: 14.0%
Max drawdown: -82.3%
Sharpe: 0.60
Trades: 293
Time in market: 55%
Win rate: 51%

ROC momentum

Rides the trend when recent return (momentum) over a window is above a threshold.

Buy Buy when the last 53-day return is greater than 6%
Sell Sell when the 53-day return drops to 6% or below

CAGR: 13.6%
Max drawdown: -62.9%
Sharpe: 0.60
Trades: 549
Time in market: 49%
Win rate: 50%

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Apple (AAPL) backtest

Results by strategy

The rules, strategy by strategy

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