Trend-Following Backtester · Guide · backtest 한국어
equity · US
PayPal Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of PayPal Holdings, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.3%, MDD -24.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.0%, drawdown -87.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.0%, MDD -25.8%, Sharpe 0.67, 44% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.9%, MDD -42.3%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 6.3%, MDD -24.4%, exposure 16%).
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=116, exitN=62 |
12.0% | -25.8% | 0.67 | 0.47 | 3.5x | 13 | 44% |
| EMA 크로스오버 fast=45, slow=270 |
13.9% | -42.3% | 0.64 | 0.33 | 4.2x | 8 | 53% |
| ADX / DI 방향성 period=29, threshold=31 |
3.4% | -10.4% | 0.61 | 0.33 | 1.4x | 4 | 5% |
| SMA 크로스오버 fast=57, slow=180 |
13.0% | -39.3% | 0.61 | 0.33 | 3.9x | 10 | 56% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
6.3% | -24.4% | 0.56 | 0.26 | 2.0x | 15 | 16% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=4 |
6.3% | -28.9% | 0.52 | 0.22 | 2.0x | 17 | 20% |
| ROC 모멘텀 n=118, threshold=0.14 |
7.5% | -38.6% | 0.48 | 0.19 | 2.2x | 77 | 31% |
| Supertrend period=15, mult=4.5 |
5.9% | -39.8% | 0.35 | 0.15 | 1.9x | 43 | 53% |
| MACD fast=21, slow=111, signal=49 |
4.8% | -69.9% | 0.31 | 0.07 | 1.7x | 55 | 53% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-1.8% | -74.6% | 0.07 | -0.02 | 0.8x | 223 | 55% |
| Buy and hold | 4.0% | -87.3% | 0.30 | 0.05 | 1.6x | 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 116 days
- Sell — Sell when price breaks below the lowest low of the last 62 days