Trend-Following Backtester · Guide · backtest 한국어
equity · US
Applovin Corporation backtest
10 trend-following strategies were compared on the full daily history of Applovin Corporation. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 59.8%, MDD -40.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 40.5%, drawdown -91.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 82.1%, MDD -46.9%, Sharpe 1.42, 49% exposure.
CAGR reference leader: Supertrend — CAGR 86.3%, MDD -43.6%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 41.6%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 59.8%, MDD -40.3%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=65, threshold=0.12 |
82.1% | -46.9% | 1.42 | 1.75 | 23.8x | 36 | 49% |
| Supertrend period=19, mult=4.5 |
86.3% | -43.6% | 1.41 | 1.98 | 26.9x | 16 | 57% |
| EMA 크로스오버 fast=24, slow=70 |
77.6% | -53.3% | 1.32 | 1.46 | 20.9x | 10 | 60% |
| SMA 크로스오버 fast=45, slow=238 |
77.9% | -57.0% | 1.31 | 1.37 | 21.1x | 2 | 52% |
| 볼린저 밴드 돌파 n=30, k=1.3 |
73.5% | -41.0% | 1.30 | 1.79 | 18.4x | 40 | 44% |
| Donchian 채널 돌파 entryN=72, exitN=18 |
59.8% | -40.3% | 1.26 | 1.48 | 12.0x | 12 | 32% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=0.8 |
61.4% | -50.6% | 1.14 | 1.21 | 12.6x | 42 | 52% |
| Parabolic SAR step=0.025, maxStep=0.06 |
59.3% | -73.0% | 1.08 | 0.81 | 11.8x | 66 | 55% |
| ADX / DI 방향성 period=37, threshold=11 |
52.5% | -55.2% | 1.05 | 0.95 | 9.3x | 40 | 50% |
| MACD fast=19, slow=57, signal=18 |
37.7% | -79.2% | 0.83 | 0.48 | 5.4x | 42 | 52% |
| Buy and hold | 40.5% | -91.9% | 0.82 | 0.44 | 6.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 65-day return is greater than 12%
- Sell — Sell when the 65-day return drops to 12% or below