Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
APEX backtest
10 trend-following strategies were compared on the full daily history of APEX. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 108.7%, MDD -49.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.5%, drawdown -95.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 152.4%, MDD -74.7%, Sharpe 1.04, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 148.9%p higher than buy and hold, while drawdown improves by 21.1%p (CAGR 108.7%, MDD -49.8%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.025, maxStep=0.2 |
152.4% | -74.7% | 1.04 | 2.04 | 60.3x | 121 | 39% |
| 볼린저 밴드 돌파 n=15, k=1.8 |
124.4% | -57.1% | 0.95 | 2.18 | 35.8x | 65 | 23% |
| SMA 크로스오버 fast=57, slow=65 |
111.4% | -73.4% | 0.94 | 1.52 | 27.5x | 32 | 42% |
| Supertrend period=32, mult=5 |
109.8% | -80.3% | 0.94 | 1.37 | 26.6x | 15 | 44% |
| ROC 모멘텀 n=15, threshold=0.09 |
115.3% | -76.3% | 0.94 | 1.51 | 29.8x | 123 | 25% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=1.4 |
108.7% | -49.8% | 0.90 | 2.18 | 26.0x | 51 | 17% |
| ADX / DI 방향성 period=12, threshold=20 |
94.4% | -79.0% | 0.89 | 1.19 | 19.0x | 82 | 42% |
| MACD fast=18, slow=51, signal=9 |
88.2% | -84.5% | 0.88 | 1.04 | 16.4x | 73 | 48% |
| Donchian 채널 돌파 entryN=44, exitN=50 |
89.4% | -76.7% | 0.87 | 1.16 | 16.9x | 10 | 37% |
| EMA 크로스오버 fast=6, slow=21 |
79.7% | -81.6% | 0.84 | 0.98 | 13.4x | 73 | 38% |
| Buy and hold | 3.5% | -95.8% | 0.65 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
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