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 15.9%, drawdown -65.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.4%, MDD -62.8%, Sharpe 0.57, 56% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.4%, 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 |
11.4% | -62.8% | 0.57 | 0.18 | 103.7x | 55 | 56% |
| SMA 크로스오버 fast=24, slow=220 |
11.4% | -54.2% | 0.55 | 0.21 | 104.6x | 65 | 67% |
| EMA 크로스오버 fast=46, slow=111 |
10.8% | -58.1% | 0.53 | 0.18 | 80.2x | 77 | 66% |
| ROC 모멘텀 n=138, threshold=-0.04 |
8.9% | -65.9% | 0.45 | 0.13 | 38.2x | 281 | 74% |
| Supertrend period=9, mult=5 |
8.1% | -58.5% | 0.45 | 0.14 | 28.7x | 127 | 57% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=25, mult=0.9 |
5.4% | -55.4% | 0.34 | 0.10 | 9.4x | 325 | 57% |
| MACD fast=19, slow=55, signal=24 |
4.9% | -64.7% | 0.32 | 0.08 | 7.9x | 385 | 52% |
| 볼린저 밴드 돌파 n=39, k=1.5 |
4.6% | -62.2% | 0.32 | 0.07 | 6.8x | 309 | 45% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.1% | -59.3% | 0.29 | 0.07 | 5.7x | 355 | 55% |
| ADX / DI 방향성 period=38, threshold=20 |
1.8% | -42.2% | 0.20 | 0.04 | 2.1x | 80 | 16% |
| Buy and hold | 15.9% | -65.8% | 0.61 | 0.24 | 558.5x | 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