Trend-Following Backtester · Guide · backtest 한국어
equity · US
PAR Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of PAR Technology Corporation. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.7%, MDD -61.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.2%, drawdown -94.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -75.6%, Sharpe 0.35, 35% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 4.7%, MDD -61.7%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=53, exitN=25 |
6.3% | -75.6% | 0.35 | 0.08 | 14.4x | 131 | 35% |
| 볼린저 밴드 돌파 n=58, k=3 |
4.7% | -61.7% | 0.31 | 0.08 | 7.4x | 78 | 19% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=3.7 |
4.9% | -73.8% | 0.31 | 0.07 | 7.9x | 102 | 26% |
| Supertrend period=13, mult=3.7 |
4.5% | -82.7% | 0.30 | 0.05 | 6.9x | 233 | 51% |
| SMA 크로스오버 fast=15, slow=50 |
3.8% | -86.7% | 0.28 | 0.04 | 5.1x | 247 | 50% |
| ADX / DI 방향성 period=58, threshold=14 |
3.8% | -64.0% | 0.28 | 0.06 | 5.1x | 114 | 21% |
| EMA 크로스오버 fast=21, slow=39 |
3.0% | -85.3% | 0.25 | 0.03 | 3.6x | 217 | 49% |
| ROC 모멘텀 n=61, threshold=0.11 |
1.4% | -76.4% | 0.19 | 0.02 | 1.8x | 471 | 32% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-1.7% | -90.7% | 0.13 | -0.02 | 0.5x | 787 | 48% |
| MACD fast=19, slow=40, signal=19 |
-2.5% | -94.6% | 0.12 | -0.03 | 0.3x | 490 | 51% |
| Buy and hold | -0.2% | -94.3% | 0.26 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 53 days
- Sell — Sell when price breaks below the lowest low of the last 25 days