Trend-Following Backtester · Guide · backtest 한국어
equity · US
Priority Technology Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Priority Technology Holdings, Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -32.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.2%, drawdown -88.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -49.7%, Sharpe 0.44, 17% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 4.5%, MDD -32.9%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=127, threshold=0.28 |
10.1% | -49.7% | 0.44 | 0.20 | 2.5x | 38 | 17% |
| SMA 크로스오버 fast=57, slow=195 |
9.9% | -63.4% | 0.43 | 0.16 | 2.5x | 11 | 37% |
| ADX / DI 방향성 period=30, threshold=22 |
7.9% | -48.5% | 0.40 | 0.16 | 2.1x | 28 | 15% |
| EMA 크로스오버 fast=55, slow=93 |
4.6% | -65.8% | 0.32 | 0.07 | 1.5x | 17 | 40% |
| Donchian 채널 돌파 entryN=35, exitN=60 |
1.2% | -78.4% | 0.30 | 0.02 | 1.1x | 19 | 65% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=22, mult=4 |
4.5% | -32.9% | 0.29 | 0.14 | 1.5x | 20 | 14% |
| Supertrend period=7, mult=4.3 |
-0.4% | -82.6% | 0.25 | -0.01 | 1.0x | 37 | 53% |
| 볼린저 밴드 돌파 n=31, k=2.6 |
0.7% | -56.2% | 0.20 | 0.01 | 1.1x | 40 | 20% |
| MACD fast=20, slow=40, signal=16 |
-19.0% | -91.7% | -0.13 | -0.21 | 0.1x | 120 | 53% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-21.3% | -94.0% | -0.26 | -0.23 | 0.1x | 241 | 47% |
| Buy and hold | -4.2% | -88.1% | 0.31 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 127-day return is greater than 28%
- Sell — Sell when the 127-day return drops to 28% or below