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 8.1%, MDD -34.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.6%, drawdown -71.6%).
Sharpe leader (same as main): Supertrend — CAGR 19.1%, MDD -52.0%, Sharpe 0.64, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 8.1%, 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 |
19.1% | -52.0% | 0.64 | 0.37 | 2.9x | 15 | 54% |
| EMA 크로스오버 fast=26, slow=33 |
16.0% | -46.5% | 0.59 | 0.34 | 2.5x | 21 | 52% |
| ROC 모멘텀 n=73, threshold=0.11 |
13.8% | -46.2% | 0.56 | 0.30 | 2.2x | 45 | 39% |
| 볼린저 밴드 돌파 n=71, k=0.5 |
11.6% | -49.2% | 0.49 | 0.24 | 2.0x | 31 | 46% |
| Donchian 채널 돌파 entryN=34, exitN=31 |
11.9% | -46.8% | 0.49 | 0.25 | 2.0x | 17 | 50% |
| SMA 크로스오버 fast=35, slow=102 |
11.1% | -45.4% | 0.47 | 0.24 | 1.9x | 13 | 47% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=3.9 |
1.6% | -6.0% | 0.42 | 0.27 | 1.1x | 2 | 2% |
| ADX / DI 방향성 period=41, threshold=13 |
8.1% | -34.1% | 0.41 | 0.24 | 1.6x | 30 | 27% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.6% | -58.0% | 0.05 | -0.08 | 0.7x | 55 | 50% |
| MACD fast=7, slow=53, signal=6 |
-23.9% | -89.5% | -0.53 | -0.27 | 0.2x | 165 | 49% |
| Buy and hold | 7.6% | -71.6% | 0.42 | 0.11 | 1.6x | 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)