Trend-Following Backtester · Guide · backtest 한국어
equity · US
Repay Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Repay Holdings Corporation. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -11.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.4%, drawdown -91.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.5%, MDD -45.3%, Sharpe 0.56, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.0%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 1.8%, MDD -11.1%, exposure 4%).
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=151, threshold=-0.04 |
13.5% | -45.3% | 0.56 | 0.30 | 2.8x | 51 | 45% |
| EMA 크로스오버 fast=44, slow=233 |
9.5% | -41.5% | 0.46 | 0.23 | 2.1x | 6 | 34% |
| SMA 크로스오버 fast=26, slow=214 |
8.4% | -43.3% | 0.42 | 0.19 | 1.9x | 9 | 36% |
| Donchian 채널 돌파 entryN=113, exitN=6 |
4.2% | -23.5% | 0.39 | 0.18 | 1.4x | 18 | 15% |
| ADX / DI 방향성 period=20, threshold=39 |
1.8% | -11.1% | 0.34 | 0.16 | 1.2x | 6 | 4% |
| Supertrend period=15, mult=1.6 |
0.7% | -59.6% | 0.18 | 0.01 | 1.1x | 127 | 49% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.1% | -73.0% | 0.17 | -0.00 | 1.0x | 67 | 52% |
| MACD fast=26, slow=38, signal=23 |
-0.8% | -82.8% | 0.17 | -0.01 | 0.9x | 71 | 52% |
| 볼린저 밴드 돌파 n=39, k=1.4 |
-2.6% | -61.0% | 0.03 | -0.04 | 0.8x | 58 | 38% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=26, mult=4 |
-1.0% | -31.9% | 0.01 | -0.03 | 0.9x | 12 | 16% |
| Buy and hold | -10.4% | -91.4% | 0.07 | -0.11 | 0.4x | 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 151-day return is greater than -4%
- Sell — Sell when the 151-day return drops to -4% or below