Trend-Following Backtester · Guide · backtest 한국어
equity · US
PagSeguro Digital Ltd. backtest
10 trend-following strategies were compared on the full daily history of PagSeguro Digital Ltd.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -13.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.8%, drawdown -90.0%).
Sharpe leader (same as main): Supertrend — CAGR 8.4%, MDD -43.7%, Sharpe 0.41, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 2.8%, MDD -13.9%, exposure 5%).
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=16, mult=2.3 |
8.4% | -43.7% | 0.41 | 0.19 | 2.0x | 78 | 44% |
| ADX / DI 방향성 period=21, threshold=36 |
2.8% | -13.9% | 0.35 | 0.20 | 1.3x | 6 | 5% |
| 볼린저 밴드 돌파 n=22, k=3 |
4.1% | -31.1% | 0.34 | 0.13 | 1.4x | 12 | 7% |
| Donchian 채널 돌파 entryN=52, exitN=40 |
4.1% | -55.0% | 0.28 | 0.07 | 1.4x | 18 | 39% |
| EMA 크로스오버 fast=23, slow=57 |
2.7% | -54.8% | 0.25 | 0.05 | 1.3x | 28 | 46% |
| Parabolic SAR step=0.01, maxStep=0.36 |
1.2% | -57.7% | 0.22 | 0.02 | 1.1x | 113 | 47% |
| SMA 크로스오버 fast=34, slow=53 |
-2.3% | -70.8% | 0.12 | -0.03 | 0.8x | 41 | 46% |
| ROC 모멘텀 n=56, threshold=-0.03 |
-3.4% | -55.5% | 0.10 | -0.06 | 0.7x | 107 | 51% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=12, mult=3.6 |
-0.4% | -41.5% | 0.07 | -0.01 | 1.0x | 20 | 15% |
| MACD fast=16, slow=37, signal=16 |
-9.4% | -75.0% | -0.04 | -0.12 | 0.4x | 106 | 48% |
| Buy and hold | -12.8% | -90.0% | 0.08 | -0.14 | 0.3x | 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) — 16-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)