Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corpay, Inc. backtest
10 trend-following strategies were compared on the full daily history of Corpay, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.7%, drawdown -50.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -43.5%, Sharpe 0.65, 62% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=195 |
12.8% | -43.5% | 0.65 | 0.30 | 6.7x | 17 | 62% |
| ADX / DI 방향성 period=33, threshold=25 |
4.9% | -12.8% | 0.63 | 0.38 | 2.1x | 16 | 10% |
| Donchian 채널 돌파 entryN=110, exitN=103 |
11.1% | -48.2% | 0.62 | 0.23 | 5.2x | 17 | 58% |
| ROC 모멘텀 n=148, threshold=0.03 |
9.9% | -45.8% | 0.56 | 0.22 | 4.4x | 119 | 58% |
| EMA 크로스오버 fast=57, slow=118 |
10.4% | -44.6% | 0.55 | 0.23 | 4.7x | 27 | 63% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=3.9 |
3.6% | -25.2% | 0.49 | 0.14 | 1.8x | 20 | 12% |
| 볼린저 밴드 돌파 n=30, k=3.3 |
3.5% | -22.2% | 0.46 | 0.16 | 1.7x | 18 | 11% |
| Supertrend period=26, mult=2.8 |
7.7% | -44.5% | 0.44 | 0.17 | 3.2x | 121 | 62% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.8% | -54.9% | 0.32 | 0.09 | 2.1x | 139 | 60% |
| MACD fast=15, slow=51, signal=19 |
2.4% | -53.8% | 0.22 | 0.04 | 1.4x | 184 | 52% |
| Buy and hold | 18.7% | -50.1% | 0.70 | 0.37 | 14.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 59-day average falls below the 195-day average