Trend-Following Backtester · Guide · backtest 한국어
equity · US
Paymentus Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Paymentus Holdings, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.7%, MDD -33.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.3%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.0%, MDD -37.1%, Sharpe 0.69, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.7%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 6.7%, MDD -33.5%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=217 |
23.0% | -37.1% | 0.69 | 0.62 | 2.9x | 2 | 49% |
| EMA 크로스오버 fast=51, slow=191 |
21.6% | -37.1% | 0.67 | 0.58 | 2.8x | 2 | 47% |
| Donchian 채널 돌파 entryN=125, exitN=94 |
17.2% | -37.8% | 0.61 | 0.46 | 2.3x | 3 | 36% |
| ROC 모멘텀 n=132, threshold=0.07 |
16.9% | -37.1% | 0.59 | 0.45 | 2.2x | 33 | 41% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
10.3% | -55.4% | 0.45 | 0.19 | 1.7x | 39 | 34% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=2.9 |
6.7% | -33.5% | 0.39 | 0.20 | 1.4x | 15 | 13% |
| ADX / DI 방향성 period=9, threshold=31 |
4.8% | -40.7% | 0.31 | 0.12 | 1.3x | 51 | 18% |
| Supertrend period=18, mult=3.2 |
1.0% | -68.5% | 0.23 | 0.01 | 1.1x | 33 | 41% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.6% | -78.5% | 0.11 | -0.06 | 0.8x | 41 | 43% |
| MACD fast=14, slow=25, signal=14 |
-5.2% | -72.3% | 0.09 | -0.07 | 0.8x | 77 | 49% |
| Buy and hold | 3.3% | -80.8% | 0.36 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 53-day average falls below the 217-day average