Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aptiv PLC backtest
10 trend-following strategies were compared on the full daily history of Aptiv PLC. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.9%, MDD -37.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.1%, drawdown -73.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -37.7%, Sharpe 0.57, 46% exposure.
CAGR reference leader: Supertrend — CAGR 9.7%, MDD -62.1%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 8.9%, MDD -37.7%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=89, exitN=51 |
8.9% | -37.7% | 0.57 | 0.24 | 3.5x | 20 | 46% |
| Supertrend period=22, mult=4.3 |
9.7% | -62.1% | 0.51 | 0.16 | 3.9x | 58 | 59% |
| ADX / DI 방향성 period=30, threshold=32 |
2.5% | -15.3% | 0.46 | 0.16 | 1.4x | 6 | 4% |
| ROC 모멘텀 n=117, threshold=-0.03 |
8.0% | -55.5% | 0.46 | 0.14 | 3.1x | 124 | 63% |
| SMA 크로스오버 fast=55, slow=160 |
7.7% | -41.1% | 0.45 | 0.19 | 3.0x | 20 | 55% |
| EMA 크로스오버 fast=36, slow=163 |
7.1% | -48.7% | 0.43 | 0.15 | 2.7x | 22 | 57% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
4.2% | -28.7% | 0.43 | 0.15 | 1.8x | 20 | 18% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.3% | -56.3% | 0.26 | 0.06 | 1.6x | 136 | 55% |
| MACD fast=15, slow=28, signal=13 |
0.2% | -57.2% | 0.13 | 0.00 | 1.0x | 223 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=1.1 |
0.2% | -57.9% | 0.11 | 0.00 | 1.0x | 136 | 50% |
| Buy and hold | 8.1% | -73.1% | 0.40 | 0.11 | 3.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 89 days
- Sell — Sell when price breaks below the lowest low of the last 51 days