Trend-Following Backtester · Guide · backtest 한국어
equity · GB
PayPoint plc backtest
10 trend-following strategies were compared on the full daily history of PayPoint plc. 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 3.9%, MDD -17.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.1%, drawdown -89.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -17.3%, Sharpe 0.56, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -55.1%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 72.3%p (CAGR 3.9%, MDD -17.3%, 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=31, threshold=33 |
3.9% | -17.3% | 0.56 | 0.22 | 2.3x | 12 | 4% |
| SMA 크로스오버 fast=24, slow=78 |
6.8% | -55.1% | 0.40 | 0.12 | 4.3x | 69 | 49% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=16, mult=3.5 |
4.3% | -34.1% | 0.38 | 0.13 | 2.6x | 28 | 17% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
5.0% | -50.8% | 0.35 | 0.10 | 2.9x | 73 | 30% |
| EMA 크로스오버 fast=22, slow=56 |
4.5% | -61.2% | 0.31 | 0.07 | 2.7x | 77 | 48% |
| Donchian 채널 돌파 entryN=59, exitN=62 |
3.7% | -63.6% | 0.27 | 0.06 | 2.2x | 39 | 56% |
| MACD fast=19, slow=52, signal=17 |
0.8% | -78.9% | 0.15 | 0.01 | 1.2x | 207 | 50% |
| Supertrend period=20, mult=3.4 |
-6.0% | -91.3% | 0.08 | -0.07 | 0.3x | 77 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.3% | -80.5% | 0.07 | -0.02 | 0.8x | 173 | 48% |
| ROC 모멘텀 n=91, threshold=-0.03 |
-1.3% | -80.9% | 0.07 | -0.02 | 0.7x | 231 | 58% |
| Buy and hold | -5.1% | -89.6% | 0.17 | -0.06 | 0.3x | 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, 31-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)