Trend-Following Backtester · Guide · backtest 한국어
equity · US
Applied Optoelectronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Applied Optoelectronics, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 38.1%, MDD -68.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.2%, drawdown -98.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 41.7%, MDD -70.5%, Sharpe 0.84, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 38.1%, MDD -68.8%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=1.8 |
41.7% | -70.5% | 0.84 | 0.59 | 90.5x | 60 | 32% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=1.1 |
38.1% | -68.8% | 0.79 | 0.55 | 65.0x | 90 | 39% |
| ADX / DI 방향성 period=31, threshold=12 |
38.1% | -84.4% | 0.79 | 0.45 | 64.8x | 90 | 44% |
| SMA 크로스오버 fast=16, slow=46 |
34.2% | -72.1% | 0.75 | 0.47 | 44.7x | 73 | 46% |
| Donchian 채널 돌파 entryN=46, exitN=60 |
33.5% | -91.0% | 0.74 | 0.37 | 41.9x | 26 | 54% |
| ROC 모멘텀 n=88, threshold=0.06 |
30.1% | -89.6% | 0.71 | 0.34 | 30.0x | 88 | 44% |
| EMA 크로스오버 fast=26, slow=36 |
29.5% | -90.7% | 0.70 | 0.33 | 28.4x | 50 | 48% |
| Supertrend period=23, mult=4.4 |
24.5% | -74.1% | 0.65 | 0.33 | 17.0x | 47 | 44% |
| Parabolic SAR step=0.01, maxStep=0.22 |
23.8% | -73.2% | 0.65 | 0.33 | 15.9x | 162 | 48% |
| MACD fast=19, slow=53, signal=18 |
17.7% | -94.8% | 0.57 | 0.19 | 8.2x | 121 | 53% |
| Buy and hold | 20.2% | -98.5% | 0.65 | 0.20 | 10.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 40-day middle average