Trend-Following Backtester · Guide · backtest 한국어
equity · AU
APA Group backtest
10 trend-following strategies were compared on the full daily history of APA Group. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -49.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.7%, MDD -57.4%, Sharpe 0.31, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 97% n=55, threshold=-0.15 |
4.7% | -57.4% | 0.31 | 0.08 | 3.3x | 53 | 97% |
| EMA 크로스오버 fast=9, slow=203 |
3.1% | -45.7% | 0.26 | 0.07 | 2.2x | 77 | 62% |
| SMA 크로스오버 fast=16, slow=202 |
2.2% | -40.5% | 0.21 | 0.05 | 1.8x | 69 | 57% |
| Donchian 채널 돌파 entryN=103, exitN=54 |
1.6% | -45.2% | 0.18 | 0.04 | 1.5x | 41 | 46% |
| 볼린저 밴드 돌파 n=67, k=3.3 |
0.6% | -23.8% | 0.14 | 0.03 | 1.2x | 12 | 7% |
| Supertrend period=25, mult=4 |
0.3% | -52.7% | 0.10 | 0.01 | 1.1x | 95 | 55% |
| ADX / DI 방향성 period=32, threshold=16 |
0.5% | -38.2% | 0.10 | 0.01 | 1.1x | 110 | 25% |
| Keltner 채널 돌파 emaPeriod=82, atrPeriod=11, mult=3.4 |
0.4% | -38.2% | 0.10 | 0.01 | 1.1x | 60 | 29% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.2% | -70.3% | -0.11 | -0.05 | 0.4x | 217 | 54% |
| MACD fast=27, slow=43, signal=17 |
-4.6% | -77.6% | -0.20 | -0.06 | 0.3x | 289 | 48% |
| Buy and hold | 7.0% | -49.5% | 0.40 | 0.14 | 5.9x | 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 55-day return is greater than -15%
- Sell — Sell when the 55-day return drops to -15% or below