Trend-Following Backtester · Guide · backtest 한국어
equity · IN
APL Apollo Tubes Limited backtest
10 trend-following strategies were compared on the full daily history of APL Apollo Tubes Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 33.7%, MDD -34.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 39.0%, drawdown -57.8%).
Sharpe leader (same as main): Supertrend — CAGR 33.7%, MDD -34.7%, Sharpe 1.17, 60% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 41.3%, MDD -55.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Supertrend — CAGR is 5.3%p lower than buy and hold, while drawdown improves by 23.1%p (CAGR 33.7%, MDD -34.7%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.1 |
33.7% | -34.7% | 1.17 | 0.97 | 70.2x | 34 | 60% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.13 |
41.3% | -55.1% | 1.11 | 0.75 | 157.9x | 21 | 99% |
| ADX / DI 방향성 period=46, threshold=14 |
26.0% | -38.4% | 1.09 | 0.68 | 29.3x | 46 | 39% |
| SMA 크로스오버 fast=54, slow=114 |
30.9% | -49.3% | 1.02 | 0.63 | 51.3x | 28 | 66% |
| Donchian 채널 돌파 entryN=26, exitN=65 |
32.3% | -45.2% | 1.00 | 0.72 | 60.2x | 27 | 81% |
| EMA 크로스오버 fast=57, slow=204 |
30.0% | -60.5% | 0.97 | 0.50 | 46.6x | 16 | 77% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
21.6% | -52.6% | 0.90 | 0.41 | 17.4x | 93 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=1.5 |
20.5% | -48.7% | 0.89 | 0.42 | 15.4x | 82 | 49% |
| MACD fast=15, slow=67, signal=13 |
17.4% | -50.1% | 0.76 | 0.35 | 10.5x | 155 | 51% |
| Parabolic SAR step=0.02, maxStep=0.34 |
13.9% | -42.4% | 0.61 | 0.33 | 6.7x | 315 | 56% |
| Buy and hold | 39.0% | -57.8% | 1.06 | 0.68 | 124.2x | 1 | 100% |
Rules of the top strategy
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) — 17-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)