Trend-Following Backtester · Guide · backtest 한국어
equity · IN
APAR Industries Limited backtest
10 trend-following strategies were compared on the full daily history of APAR Industries Limited. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 28.8%, MDD -35.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 31.3%, drawdown -83.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 34.7%, MDD -53.8%, Sharpe 0.98, 64% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 28.8%, MDD -35.5%, exposure 50%).
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=19, slow=76 |
34.7% | -53.8% | 0.98 | 0.64 | 708.4x | 57 | 64% |
| SMA 크로스오버 fast=6, slow=90 |
33.7% | -48.0% | 0.97 | 0.70 | 600.4x | 81 | 62% |
| Supertrend period=4, mult=4.1 |
32.8% | -62.5% | 0.95 | 0.52 | 520.6x | 56 | 66% |
| 볼린저 밴드 돌파 n=78, k=0.4 |
30.9% | -44.0% | 0.93 | 0.70 | 379.1x | 124 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.3 |
28.8% | -35.5% | 0.92 | 0.81 | 267.0x | 104 | 50% |
| ROC 모멘텀 n=77, threshold=-0.07 |
32.0% | -60.1% | 0.91 | 0.53 | 459.4x | 163 | 71% |
| Donchian 채널 돌파 entryN=37, exitN=40 |
28.0% | -55.7% | 0.86 | 0.50 | 229.9x | 51 | 60% |
| ADX / DI 방향성 period=38, threshold=13 |
25.3% | -56.3% | 0.82 | 0.45 | 144.5x | 119 | 55% |
| MACD fast=31, slow=67, signal=16 |
18.3% | -54.4% | 0.66 | 0.34 | 40.6x | 188 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
14.7% | -61.9% | 0.57 | 0.24 | 20.6x | 174 | 57% |
| Buy and hold | 31.3% | -83.0% | 0.82 | 0.38 | 403.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 76-day EMA
- Sell — Sell when the 19-day EMA falls below the 76-day EMA