Trend-Following Backtester · Guide · backtest 한국어
equity · US
Apollo Commercial Real Estate Finance, Inc backtest
10 trend-following strategies were compared on the full daily history of Apollo Commercial Real Estate Finance, Inc. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -13.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.9%, drawdown -78.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -13.0%, Sharpe 0.37, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 65.4%p (CAGR 2.2%, MDD -13.0%, exposure 4%).
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=32, threshold=20 |
2.2% | -13.0% | 0.37 | 0.17 | 1.4x | 20 | 4% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
1.1% | -17.0% | 0.20 | 0.06 | 1.2x | 8 | 5% |
| Supertrend period=24, mult=3.6 |
0.2% | -58.9% | 0.11 | 0.00 | 1.0x | 62 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=4 |
0.0% | -24.8% | 0.04 | 0.00 | 1.0x | 14 | 7% |
| ROC 모멘텀 n=66, threshold=0.14 |
-0.5% | -30.9% | -0.02 | -0.02 | 0.9x | 44 | 7% |
| Donchian 채널 돌파 entryN=10, exitN=71 |
-2.8% | -53.1% | -0.03 | -0.05 | 0.6x | 52 | 86% |
| SMA 크로스오버 fast=56, slow=146 |
-3.4% | -66.4% | -0.10 | -0.05 | 0.6x | 34 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.7% | -72.4% | -0.22 | -0.08 | 0.4x | 136 | 51% |
| EMA 크로스오버 fast=24, slow=259 |
-4.5% | -61.9% | -0.23 | -0.07 | 0.5x | 32 | 48% |
| MACD fast=10, slow=34, signal=13 |
-9.5% | -85.5% | -0.42 | -0.11 | 0.2x | 312 | 50% |
| Buy and hold | -5.9% | -78.5% | 0.01 | -0.08 | 0.4x | 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, 32-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)