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 4.0%, MDD -17.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.4%, drawdown -89.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.0%, MDD -17.3%, Sharpe 0.50, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.6%, MDD -51.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 72.3%p (CAGR 4.0%, MDD -17.3%, exposure 5%).
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=35, threshold=30 |
4.0% | -17.3% | 0.50 | 0.23 | 2.4x | 10 | 5% |
| SMA 크로스오버 fast=20, slow=106 |
6.6% | -51.6% | 0.39 | 0.13 | 4.1x | 63 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=3.4 |
4.2% | -30.5% | 0.39 | 0.14 | 2.5x | 30 | 15% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
5.1% | -51.5% | 0.36 | 0.10 | 3.0x | 71 | 30% |
| EMA 크로스오버 fast=22, slow=56 |
4.3% | -61.2% | 0.30 | 0.07 | 2.6x | 77 | 48% |
| Donchian 채널 돌파 entryN=55, exitN=66 |
3.3% | -63.6% | 0.25 | 0.05 | 2.0x | 39 | 56% |
| MACD fast=20, slow=58, signal=14 |
-0.1% | -83.5% | 0.12 | -0.00 | 1.0x | 217 | 50% |
| Supertrend period=24, mult=3.4 |
-5.9% | -90.6% | 0.09 | -0.07 | 0.3x | 76 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.0% | -80.5% | 0.08 | -0.01 | 0.8x | 171 | 48% |
| ROC 모멘텀 n=85, threshold=0.02 |
-2.4% | -78.3% | 0.00 | -0.03 | 0.6x | 249 | 46% |
| Buy and hold | -5.4% | -89.6% | 0.16 | -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, 35-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)