Trend-Following Backtester · Guide · backtest 한국어
equity · US
Paylocity Holding Corporation backtest
10 trend-following strategies were compared on the full daily history of Paylocity Holding Corporation. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 16.4%, drawdown -68.9%).
Sharpe leader (same as main): Supertrend — CAGR 19.5%, MDD -59.7%, Sharpe 0.75, 57% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=36, mult=5 |
19.5% | -59.7% | 0.75 | 0.33 | 9.2x | 29 | 57% |
| Donchian 채널 돌파 entryN=19, exitN=45 |
16.9% | -57.8% | 0.64 | 0.29 | 7.0x | 41 | 70% |
| 볼린저 밴드 돌파 n=35, k=2.1 |
11.7% | -28.3% | 0.61 | 0.41 | 4.0x | 61 | 34% |
| EMA 크로스오버 fast=10, slow=82 |
13.1% | -56.9% | 0.57 | 0.23 | 4.6x | 49 | 57% |
| MACD fast=13, slow=52, signal=19 |
11.5% | -50.3% | 0.53 | 0.23 | 3.9x | 143 | 51% |
| SMA 크로스오버 fast=7, slow=83 |
10.4% | -52.2% | 0.49 | 0.20 | 3.4x | 65 | 56% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=19, mult=1.1 |
9.0% | -43.7% | 0.47 | 0.21 | 2.9x | 111 | 44% |
| ROC 모멘텀 n=45, threshold=0.04 |
8.5% | -48.1% | 0.44 | 0.18 | 2.8x | 163 | 47% |
| Parabolic SAR step=0.01, maxStep=0.2 |
2.3% | -59.9% | 0.23 | 0.04 | 1.3x | 175 | 54% |
| ADX / DI 방향성 period=24, threshold=37 |
0.2% | -7.7% | 0.10 | 0.03 | 1.0x | 4 | 1% |
| Buy and hold | 16.4% | -68.9% | 0.57 | 0.24 | 6.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 36-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)