Trend-Following Backtester · Guide · backtest 한국어
equity · US
Paysign, Inc. backtest
10 trend-following strategies were compared on the full daily history of Paysign, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 14.5%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.1%, MDD -88.0%, Sharpe 0.77, 48% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=140 |
38.1% | -88.0% | 0.77 | 0.43 | 430.9x | 31 | 48% |
| ROC 모멘텀 n=111, threshold=-0.03 |
30.7% | -91.8% | 0.70 | 0.33 | 153.9x | 159 | 53% |
| Donchian 채널 돌파 entryN=111, exitN=92 |
22.5% | -93.5% | 0.65 | 0.24 | 45.4x | 21 | 52% |
| EMA 크로스오버 fast=40, slow=205 |
10.7% | -96.3% | 0.55 | 0.11 | 6.8x | 29 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
3.8% | -98.3% | 0.51 | 0.04 | 2.0x | 51 | 31% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.4% | -99.6% | 0.50 | 0.00 | 1.1x | 165 | 45% |
| ADX / DI 방향성 period=33, threshold=11 |
-5.3% | -99.8% | 0.45 | -0.05 | 0.4x | 155 | 38% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=34, mult=4 |
-4.2% | -99.6% | 0.43 | -0.04 | 0.4x | 49 | 31% |
| MACD fast=17, slow=36, signal=18 |
-2.6% | -98.4% | 0.36 | -0.03 | 0.6x | 208 | 52% |
| Supertrend period=8, mult=4.5 |
-17.3% | -100.0% | 0.34 | -0.17 | 0.0x | 93 | 51% |
| Buy and hold | 14.5% | -98.9% | 0.56 | 0.15 | 12.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 46-day average falls below the 140-day average