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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.4%, MDD -33.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.1%, drawdown -80.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.8%, MDD -37.1%, Sharpe 0.66, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 7.4%, MDD -33.5%, exposure 14%).
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=51, slow=191 |
21.8% | -37.1% | 0.66 | 0.59 | 2.8x | 3 | 48% |
| SMA 크로스오버 fast=53, slow=217 |
19.4% | -37.1% | 0.62 | 0.52 | 2.5x | 3 | 49% |
| Donchian 채널 돌파 entryN=125, exitN=94 |
17.9% | -37.8% | 0.60 | 0.47 | 2.4x | 3 | 37% |
| ROC 모멘텀 n=132, threshold=0.07 |
17.5% | -37.1% | 0.59 | 0.47 | 2.3x | 33 | 42% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
11.0% | -55.4% | 0.46 | 0.20 | 1.7x | 40 | 34% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=2.9 |
7.4% | -33.5% | 0.39 | 0.22 | 1.5x | 16 | 14% |
| ADX / DI 방향성 period=9, threshold=31 |
7.5% | -40.7% | 0.39 | 0.18 | 1.5x | 52 | 19% |
| Supertrend period=18, mult=3.2 |
1.8% | -68.5% | 0.25 | 0.03 | 1.1x | 33 | 42% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.8% | -78.5% | 0.18 | -0.02 | 0.9x | 42 | 43% |
| MACD fast=14, slow=25, signal=14 |
-2.5% | -72.3% | 0.16 | -0.04 | 0.9x | 78 | 50% |
| Buy and hold | 4.1% | -80.8% | 0.38 | 0.05 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 191-day EMA
- Sell — Sell when the 51-day EMA falls below the 191-day EMA