Trend-Following Backtester · Guide · backtest 한국어
equity · US
Paysafe Limited backtest
10 trend-following strategies were compared on the full daily history of Paysafe Limited. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.2%, MDD -11.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -37.2%, drawdown -97.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.5%, MDD -22.6%, Sharpe 0.73, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 46.7%p higher than buy and hold, while drawdown improves by 74.8%p (CAGR 3.2%, MDD -11.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=19, threshold=36 |
9.5% | -22.6% | 0.73 | 0.42 | 1.7x | 2 | 3% |
| 볼린저 밴드 돌파 n=13, k=3.3 |
3.2% | -11.8% | 0.48 | 0.27 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=84, slow=201 |
7.2% | -33.9% | 0.41 | 0.21 | 1.5x | 2 | 18% |
| ROC 모멘텀 n=156, threshold=0.06 |
4.1% | -34.0% | 0.29 | 0.12 | 1.3x | 16 | 21% |
| Donchian 채널 돌파 entryN=126, exitN=55 |
3.1% | -26.4% | 0.26 | 0.12 | 1.2x | 2 | 14% |
| EMA 크로스오버 fast=53, slow=212 |
-1.8% | -44.0% | 0.05 | -0.04 | 0.9x | 2 | 16% |
| Supertrend period=9, mult=2.6 |
-11.0% | -79.6% | -0.10 | -0.14 | 0.5x | 41 | 40% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=28, mult=1.3 |
-12.7% | -75.3% | -0.29 | -0.17 | 0.5x | 47 | 25% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-23.9% | -87.9% | -0.46 | -0.27 | 0.2x | 75 | 42% |
| MACD fast=10, slow=31, signal=6 |
-30.0% | -92.3% | -0.51 | -0.33 | 0.1x | 129 | 50% |
| Buy and hold | -37.2% | -97.4% | -0.32 | -0.38 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)