Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Public Education, Inc. backtest
10 trend-following strategies were compared on the full daily history of American Public Education, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.8%, MDD -54.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.6%, drawdown -92.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -79.5%, Sharpe 0.25, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 12.7%p (CAGR 1.8%, MDD -54.3%, exposure 22%).
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=28, slow=82 |
2.4% | -79.5% | 0.25 | 0.03 | 1.6x | 58 | 48% |
| Supertrend period=25, mult=3.7 |
0.8% | -74.2% | 0.21 | 0.01 | 1.2x | 78 | 51% |
| EMA 크로스오버 fast=46, slow=146 |
0.7% | -87.2% | 0.20 | 0.01 | 1.1x | 33 | 46% |
| Donchian 채널 돌파 entryN=85, exitN=57 |
1.2% | -76.0% | 0.20 | 0.02 | 1.3x | 30 | 38% |
| 볼린저 밴드 돌파 n=19, k=2.2 |
1.8% | -54.3% | 0.20 | 0.03 | 1.4x | 120 | 22% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=24, mult=3.7 |
1.8% | -56.4% | 0.19 | 0.03 | 1.4x | 38 | 19% |
| MACD fast=12, slow=43, signal=17 |
-1.0% | -83.2% | 0.15 | -0.01 | 0.8x | 228 | 52% |
| ADX / DI 방향성 period=14, threshold=24 |
0.8% | -70.5% | 0.15 | 0.01 | 1.2x | 146 | 22% |
| ROC 모멘텀 n=131, threshold=0.09 |
-1.6% | -88.2% | 0.12 | -0.02 | 0.7x | 165 | 36% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-5.2% | -91.4% | 0.03 | -0.06 | 0.4x | 322 | 51% |
| Buy and hold | 1.6% | -92.2% | 0.31 | 0.02 | 1.3x | 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 28-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 28-day average falls below the 82-day average