Trend-Following Backtester · Guide · backtest 한국어
equity · US
Payoneer Global Inc. backtest
10 trend-following strategies were compared on the full daily history of Payoneer Global Inc.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.8%, MDD -16.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.1%, drawdown -76.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.8%, MDD -16.6%, Sharpe 0.58, 11% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 9.9%, MDD -35.7%, exposure 22%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 59.5%p (CAGR 7.8%, MDD -16.6%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=13, mult=3.5 |
7.8% | -16.6% | 0.58 | 0.47 | 1.5x | 7 | 11% |
| 볼린저 밴드 돌파 n=17, k=2.3 |
9.9% | -35.7% | 0.47 | 0.28 | 1.7x | 37 | 22% |
| ADX / DI 방향성 period=13, threshold=32 |
8.4% | -21.4% | 0.46 | 0.39 | 1.6x | 27 | 18% |
| Donchian 채널 돌파 entryN=111, exitN=61 |
7.1% | -40.5% | 0.40 | 0.18 | 1.5x | 5 | 22% |
| SMA 크로스오버 fast=35, slow=89 |
3.6% | -56.9% | 0.27 | 0.06 | 1.2x | 13 | 35% |
| EMA 크로스오버 fast=27, slow=69 |
2.3% | -47.5% | 0.22 | 0.05 | 1.1x | 13 | 33% |
| ROC 모멘텀 n=54, threshold=0.13 |
2.0% | -38.0% | 0.20 | 0.05 | 1.1x | 55 | 26% |
| Supertrend period=21, mult=2.8 |
-0.3% | -56.6% | 0.16 | -0.01 | 1.0x | 37 | 43% |
| MACD fast=17, slow=25, signal=14 |
-7.6% | -68.8% | -0.01 | -0.11 | 0.6x | 74 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-7.3% | -71.5% | -0.03 | -0.10 | 0.6x | 49 | 43% |
| Buy and hold | -5.1% | -76.0% | 0.17 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average