Trend-Following Backtester · Guide · backtest 한국어
equity · US
Global Payments Inc. backtest
10 trend-following strategies were compared on the full daily history of Global Payments Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -71.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.7%, MDD -53.4%, Sharpe 0.44, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=194 |
7.7% | -53.4% | 0.44 | 0.14 | 6.7x | 35 | 62% |
| Donchian 채널 돌파 entryN=56, exitN=57 |
7.5% | -61.2% | 0.43 | 0.12 | 6.3x | 51 | 64% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
3.8% | -26.7% | 0.40 | 0.14 | 2.6x | 38 | 18% |
| SMA 크로스오버 fast=6, slow=195 |
6.2% | -65.1% | 0.39 | 0.10 | 4.7x | 75 | 59% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=23, mult=3.3 |
4.0% | -28.1% | 0.33 | 0.14 | 2.7x | 79 | 36% |
| Supertrend period=28, mult=4.8 |
3.8% | -74.4% | 0.28 | 0.05 | 2.6x | 91 | 57% |
| ADX / DI 방향성 period=26, threshold=31 |
1.5% | -18.3% | 0.25 | 0.08 | 1.5x | 24 | 6% |
| ROC 모멘텀 n=168, threshold=0.05 |
2.2% | -73.8% | 0.21 | 0.03 | 1.7x | 175 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.4% | -81.9% | 0.05 | -0.02 | 0.7x | 229 | 56% |
| MACD fast=18, slow=57, signal=17 |
-1.6% | -72.1% | 0.04 | -0.02 | 0.7x | 295 | 53% |
| Buy and hold | 12.9% | -71.5% | 0.53 | 0.18 | 22.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 194-day EMA
- Sell — Sell when the 40-day EMA falls below the 194-day EMA