Trend-Following Backtester · Guide · backtest 한국어
equity · US
AptarGroup, Inc. backtest
10 trend-following strategies were compared on the full daily history of AptarGroup, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -45.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -46.3%, Sharpe 0.49, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.1 |
9.8% | -46.3% | 0.49 | 0.21 | 23.0x | 25 | 100% |
| SMA 크로스오버 fast=46, slow=174 |
6.5% | -42.4% | 0.43 | 0.15 | 8.2x | 47 | 67% |
| EMA 크로스오버 fast=55, slow=181 |
6.2% | -39.4% | 0.41 | 0.16 | 7.5x | 43 | 71% |
| Donchian 채널 돌파 entryN=7, exitN=74 |
6.6% | -54.7% | 0.39 | 0.12 | 8.3x | 93 | 92% |
| Keltner 채널 돌파 emaPeriod=159, atrPeriod=21, mult=2.6 |
3.1% | -36.7% | 0.27 | 0.08 | 2.8x | 87 | 56% |
| Supertrend period=12, mult=4.4 |
1.8% | -53.2% | 0.19 | 0.03 | 1.8x | 133 | 59% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.2% | -11.8% | 0.09 | 0.02 | 1.1x | 14 | 3% |
| ADX / DI 방향성 period=33, threshold=37 |
-0.0% | -6.1% | 0.00 | -0.00 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-5.1% | -93.3% | -0.18 | -0.05 | 0.2x | 482 | 56% |
| MACD fast=21, slow=59, signal=18 |
-5.9% | -90.5% | -0.26 | -0.07 | 0.1x | 386 | 51% |
| Buy and hold | 10.4% | -45.2% | 0.51 | 0.23 | 26.9x | 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 2-day return is greater than -10%
- Sell — Sell when the 2-day return drops to -10% or below