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 13.2%, drawdown -71.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.0%, MDD -53.4%, Sharpe 0.45, 63% 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 |
8.0% | -53.4% | 0.45 | 0.15 | 7.2x | 35 | 63% |
| Donchian 채널 돌파 entryN=56, exitN=57 |
7.8% | -61.2% | 0.44 | 0.13 | 6.8x | 51 | 65% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
3.8% | -26.7% | 0.40 | 0.14 | 2.6x | 38 | 17% |
| SMA 크로스오버 fast=6, slow=195 |
6.5% | -65.1% | 0.40 | 0.10 | 5.1x | 75 | 60% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=23, mult=3.3 |
4.3% | -28.1% | 0.35 | 0.15 | 2.9x | 79 | 36% |
| Supertrend period=28, mult=4.8 |
4.1% | -74.4% | 0.30 | 0.06 | 2.8x | 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 |
2.5% | -73.8% | 0.22 | 0.03 | 1.9x | 175 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.1% | -81.9% | 0.07 | -0.01 | 0.8x | 229 | 56% |
| MACD fast=18, slow=57, signal=17 |
-1.3% | -72.1% | 0.06 | -0.02 | 0.7x | 295 | 53% |
| Buy and hold | 13.2% | -71.5% | 0.54 | 0.19 | 24.2x | 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