Trend-Following Backtester · Guide · backtest 한국어
equity · US
PagerDuty, Inc. backtest
10 trend-following strategies were compared on the full daily history of PagerDuty, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -25.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -16.2%, drawdown -90.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -42.5%, Sharpe 0.38, 31% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.4%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 2.0%, MDD -25.6%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=115 |
7.2% | -42.5% | 0.38 | 0.17 | 1.7x | 19 | 31% |
| ADX / DI 방향성 period=38, threshold=18 |
2.0% | -25.6% | 0.19 | 0.08 | 1.2x | 7 | 5% |
| Donchian 채널 돌파 entryN=78, exitN=64 |
-0.7% | -63.3% | 0.14 | -0.01 | 1.0x | 7 | 31% |
| Supertrend period=11, mult=3.7 |
-2.4% | -70.8% | 0.13 | -0.03 | 0.8x | 27 | 43% |
| EMA 크로스오버 fast=39, slow=81 |
-1.8% | -68.6% | 0.10 | -0.03 | 0.9x | 15 | 32% |
| 볼린저 밴드 돌파 n=73, k=1.1 |
-5.0% | -74.9% | -0.01 | -0.07 | 0.7x | 33 | 25% |
| ROC 모멘텀 n=146, threshold=0.07 |
-4.9% | -61.6% | -0.03 | -0.08 | 0.7x | 42 | 22% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=15, mult=4 |
-5.3% | -43.0% | -0.19 | -0.12 | 0.7x | 8 | 8% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-19.8% | -89.2% | -0.42 | -0.22 | 0.2x | 60 | 42% |
| MACD fast=15, slow=40, signal=15 |
-23.8% | -90.2% | -0.46 | -0.26 | 0.1x | 92 | 51% |
| Buy and hold | -16.2% | -90.0% | 0.01 | -0.18 | 0.3x | 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 30-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 30-day average falls below the 115-day average