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 16.4%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.3%, MDD -88.0%, Sharpe 0.79, 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 |
40.3% | -88.0% | 0.79 | 0.46 | 599.2x | 31 | 48% |
| ROC 모멘텀 n=111, threshold=-0.03 |
32.8% | -91.8% | 0.72 | 0.36 | 214.0x | 159 | 54% |
| Donchian 채널 돌파 entryN=111, exitN=92 |
24.5% | -93.5% | 0.67 | 0.26 | 63.1x | 21 | 52% |
| EMA 크로스오버 fast=40, slow=205 |
12.6% | -96.3% | 0.57 | 0.13 | 9.4x | 29 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
5.6% | -98.3% | 0.53 | 0.06 | 2.8x | 51 | 31% |
| Parabolic SAR step=0.01, maxStep=0.22 |
2.2% | -99.6% | 0.52 | 0.02 | 1.5x | 165 | 46% |
| ADX / DI 방향성 period=33, threshold=11 |
-3.6% | -99.8% | 0.47 | -0.04 | 0.5x | 155 | 39% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=34, mult=4 |
-2.5% | -99.6% | 0.45 | -0.02 | 0.6x | 49 | 31% |
| Supertrend period=8, mult=4.5 |
-15.8% | -100.0% | 0.36 | -0.16 | 0.0x | 93 | 52% |
| MACD fast=17, slow=36, signal=18 |
-2.6% | -98.4% | 0.36 | -0.03 | 0.6x | 209 | 52% |
| Buy and hold | 16.4% | -98.9% | 0.56 | 0.17 | 17.7x | 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