Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pegasystems Inc. backtest
10 trend-following strategies were compared on the full daily history of Pegasystems 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 8.6%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -92.4%, Sharpe 0.35, 82% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 6.4%, MDD -64.3%, exposure 39%.
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=13, exitN=65 |
4.8% | -92.4% | 0.35 | 0.05 | 4.1x | 93 | 82% |
| ADX / DI 방향성 period=38, threshold=12 |
6.4% | -64.3% | 0.35 | 0.10 | 6.5x | 203 | 39% |
| SMA 크로스오버 fast=59, slow=282 |
5.9% | -80.5% | 0.34 | 0.07 | 5.7x | 36 | 61% |
| 볼린저 밴드 돌파 n=55, k=1.7 |
5.8% | -74.0% | 0.33 | 0.08 | 5.5x | 127 | 40% |
| EMA 크로스오버 fast=43, slow=50 |
5.6% | -86.6% | 0.33 | 0.07 | 5.2x | 80 | 58% |
| MACD fast=25, slow=55, signal=29 |
4.7% | -82.2% | 0.32 | 0.06 | 4.0x | 223 | 53% |
| ROC 모멘텀 n=9, threshold=-0.09 |
1.8% | -90.2% | 0.30 | 0.02 | 1.7x | 485 | 87% |
| Supertrend period=11, mult=2.6 |
3.4% | -85.8% | 0.28 | 0.04 | 2.7x | 237 | 56% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=27, mult=0.6 |
2.7% | -71.5% | 0.26 | 0.04 | 2.2x | 265 | 52% |
| Parabolic SAR step=0.02, maxStep=0.12 |
0.0% | -92.7% | 0.22 | 0.00 | 1.0x | 593 | 52% |
| Buy and hold | 8.6% | -94.8% | 0.44 | 0.09 | 11.8x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 65 days