Trend-Following Backtester · Guide · backtest 한국어
equity · US
Apogee Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Apogee Enterprises, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -85.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.7%, MDD -47.9%, Sharpe 0.39, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.4%, MDD -73.2%, exposure 59%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=21 |
5.7% | -47.9% | 0.39 | 0.12 | 19.4x | 178 | 24% |
| SMA 크로스오버 fast=36, slow=133 |
7.4% | -73.2% | 0.38 | 0.10 | 44.9x | 113 | 59% |
| Donchian 채널 돌파 entryN=14, exitN=79 |
7.3% | -77.0% | 0.38 | 0.10 | 43.5x | 145 | 79% |
| 볼린저 밴드 돌파 n=52, k=3 |
4.2% | -52.2% | 0.32 | 0.08 | 8.8x | 105 | 20% |
| EMA 크로스오버 fast=30, slow=144 |
5.2% | -71.8% | 0.32 | 0.07 | 14.8x | 99 | 59% |
| MACD fast=25, slow=89, signal=18 |
3.1% | -83.2% | 0.25 | 0.04 | 5.0x | 456 | 53% |
| Supertrend period=8, mult=2.7 |
2.8% | -86.1% | 0.24 | 0.03 | 4.3x | 350 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.4% | -89.1% | 0.23 | 0.03 | 3.6x | 400 | 54% |
| ROC 모멘텀 n=139, threshold=-0.02 |
2.3% | -88.8% | 0.23 | 0.03 | 3.4x | 387 | 61% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=11, mult=2.5 |
-1.5% | -89.4% | 0.04 | -0.02 | 0.5x | 198 | 27% |
| Buy and hold | 10.3% | -85.9% | 0.44 | 0.12 | 181.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)