Trend-Following Backtester · Guide · backtest 한국어
equity · US
Paycom Software, Inc. backtest
10 trend-following strategies were compared on the full daily history of Paycom Software, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 25.5%, MDD -43.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.8%, drawdown -79.5%).
Sharpe leader (same as main): Supertrend — CAGR 27.7%, MDD -50.9%, Sharpe 0.95, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 25.5%, MDD -43.2%, exposure 59%).
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=11, mult=5 |
27.7% | -50.9% | 0.95 | 0.54 | 20.6x | 31 | 55% |
| EMA 크로스오버 fast=50, slow=57 |
25.5% | -43.2% | 0.84 | 0.59 | 16.6x | 23 | 59% |
| SMA 크로스오버 fast=32, slow=68 |
24.1% | -45.8% | 0.82 | 0.53 | 14.5x | 41 | 58% |
| Donchian 채널 돌파 entryN=16, exitN=58 |
24.7% | -74.5% | 0.77 | 0.33 | 15.4x | 39 | 77% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=3.4 |
5.4% | -8.6% | 0.74 | 0.63 | 1.9x | 15 | 5% |
| ROC 모멘텀 n=55, threshold=0.03 |
19.0% | -48.2% | 0.73 | 0.39 | 8.6x | 115 | 54% |
| MACD fast=29, slow=68, signal=15 |
16.6% | -55.5% | 0.65 | 0.30 | 6.7x | 111 | 51% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
12.5% | -49.5% | 0.57 | 0.25 | 4.3x | 81 | 45% |
| Parabolic SAR step=0.005, maxStep=0.28 |
14.0% | -67.1% | 0.57 | 0.21 | 5.1x | 119 | 53% |
| ADX / DI 방향성 period=23, threshold=10 |
9.6% | -70.8% | 0.46 | 0.14 | 3.1x | 193 | 50% |
| Buy and hold | 24.8% | -79.5% | 0.72 | 0.31 | 15.5x | 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) — 11-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)