Trend-Following Backtester · Guide · backtest 한국어
equity · US
Paychex, Inc. backtest
10 trend-following strategies were compared on the full daily history of Paychex, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -65.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -62.8%, Sharpe 0.58, 56% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.6%, MDD -54.2%, exposure 67%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=103, exitN=73 |
11.6% | -62.8% | 0.58 | 0.18 | 113.0x | 55 | 56% |
| SMA 크로스오버 fast=24, slow=220 |
11.6% | -54.2% | 0.55 | 0.21 | 114.0x | 65 | 67% |
| EMA 크로스오버 fast=46, slow=111 |
11.0% | -58.1% | 0.53 | 0.19 | 87.4x | 77 | 66% |
| ROC 모멘텀 n=138, threshold=-0.04 |
9.1% | -65.9% | 0.46 | 0.14 | 41.7x | 281 | 74% |
| Supertrend period=9, mult=5 |
8.3% | -58.5% | 0.45 | 0.14 | 31.3x | 127 | 57% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=25, mult=0.9 |
5.6% | -55.4% | 0.35 | 0.10 | 10.3x | 325 | 57% |
| MACD fast=19, slow=55, signal=24 |
5.1% | -64.7% | 0.33 | 0.08 | 8.6x | 385 | 52% |
| 볼린저 밴드 돌파 n=39, k=1.5 |
4.8% | -62.2% | 0.33 | 0.08 | 7.4x | 309 | 45% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.2% | -59.3% | 0.29 | 0.07 | 5.8x | 357 | 55% |
| ADX / DI 방향성 period=38, threshold=20 |
1.8% | -42.2% | 0.20 | 0.04 | 2.2x | 81 | 16% |
| Buy and hold | 16.1% | -65.8% | 0.61 | 0.24 | 608.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 103 days
- Sell — Sell when price breaks below the lowest low of the last 73 days