Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Apeloa Pharmaceutical Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Apeloa Pharmaceutical Co. Ltd. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.4%, MDD -66.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.0%, drawdown -85.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -67.7%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 9.4%, MDD -66.5%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=210 |
10.3% | -67.7% | 0.46 | 0.15 | 17.5x | 35 | 56% |
| EMA 크로스오버 fast=34, slow=257 |
9.4% | -66.5% | 0.43 | 0.14 | 13.7x | 43 | 54% |
| ADX / DI 방향성 period=60, threshold=5 |
9.1% | -72.9% | 0.43 | 0.13 | 12.9x | 207 | 60% |
| Donchian 채널 돌파 entryN=19, exitN=79 |
9.1% | -82.6% | 0.42 | 0.11 | 12.9x | 75 | 76% |
| ROC 모멘텀 n=111, threshold=-0.09 |
7.7% | -86.3% | 0.39 | 0.09 | 8.8x | 233 | 69% |
| Supertrend period=11, mult=4 |
4.7% | -77.6% | 0.31 | 0.06 | 3.8x | 121 | 58% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
2.7% | -39.0% | 0.24 | 0.07 | 2.2x | 26 | 9% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=4 |
1.5% | -53.8% | 0.18 | 0.03 | 1.5x | 63 | 19% |
| MACD fast=16, slow=31, signal=24 |
0.6% | -78.4% | 0.18 | 0.01 | 1.2x | 317 | 52% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-3.4% | -79.8% | 0.05 | -0.04 | 0.4x | 500 | 49% |
| Buy and hold | 9.0% | -85.6% | 0.42 | 0.11 | 12.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 43-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 43-day average falls below the 210-day average