Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shift4 Payments, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shift4 Payments, Inc.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.0%, MDD -34.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.7%, drawdown -71.6%).
Sharpe leader (same as main): Supertrend — CAGR 14.0%, MDD -52.0%, Sharpe 0.53, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 8.0%, MDD -34.1%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.8 |
14.0% | -52.0% | 0.53 | 0.27 | 2.3x | 16 | 54% |
| EMA 크로스오버 fast=26, slow=33 |
12.2% | -46.5% | 0.50 | 0.26 | 2.1x | 22 | 53% |
| ROC 모멘텀 n=73, threshold=0.11 |
11.0% | -49.3% | 0.48 | 0.22 | 1.9x | 52 | 39% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=3.9 |
1.6% | -6.0% | 0.42 | 0.26 | 1.1x | 2 | 2% |
| ADX / DI 방향성 period=41, threshold=13 |
8.0% | -34.1% | 0.41 | 0.23 | 1.6x | 30 | 27% |
| Donchian 채널 돌파 entryN=34, exitN=31 |
7.7% | -46.8% | 0.39 | 0.17 | 1.6x | 17 | 51% |
| SMA 크로스오버 fast=35, slow=102 |
7.0% | -46.5% | 0.37 | 0.15 | 1.5x | 13 | 48% |
| 볼린저 밴드 돌파 n=71, k=0.5 |
6.3% | -49.2% | 0.35 | 0.13 | 1.5x | 34 | 45% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-7.7% | -58.0% | -0.03 | -0.13 | 0.6x | 56 | 50% |
| MACD fast=7, slow=53, signal=6 |
-27.0% | -90.3% | -0.63 | -0.30 | 0.1x | 168 | 49% |
| Buy and hold | 3.7% | -71.6% | 0.35 | 0.05 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)