Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Paisalo Digital Ltd. backtest
10 trend-following strategies were compared on the full daily history of Paisalo Digital Ltd.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 37.8%, MDD -48.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 22.0%, drawdown -79.9%).
Sharpe leader (same as main): Supertrend — CAGR 37.8%, MDD -48.6%, Sharpe 1.10, 43% exposure.
Return/drawdown alternative: Supertrend — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 37.8%, MDD -48.6%, exposure 43%).
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=27, mult=1.5 |
37.8% | -48.6% | 1.10 | 0.78 | 241.3x | 198 | 43% |
| 볼린저 밴드 돌파 n=50, k=2.2 |
24.3% | -70.3% | 0.84 | 0.35 | 41.3x | 67 | 35% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=2.5 |
23.1% | -68.4% | 0.84 | 0.34 | 35.1x | 47 | 32% |
| ROC 모멘텀 n=58, threshold=0.13 |
24.1% | -63.8% | 0.83 | 0.38 | 40.3x | 133 | 31% |
| Donchian 채널 돌파 entryN=57, exitN=33 |
24.2% | -70.1% | 0.79 | 0.35 | 41.0x | 33 | 48% |
| Parabolic SAR step=0.01, maxStep=0.36 |
24.4% | -67.5% | 0.78 | 0.36 | 42.0x | 202 | 46% |
| SMA 크로스오버 fast=43, slow=63 |
24.9% | -68.8% | 0.78 | 0.36 | 44.9x | 75 | 54% |
| EMA 크로스오버 fast=37, slow=59 |
21.7% | -76.1% | 0.71 | 0.28 | 28.7x | 49 | 57% |
| MACD fast=6, slow=22, signal=7 |
21.7% | -75.6% | 0.71 | 0.29 | 28.9x | 452 | 48% |
| ADX / DI 방향성 period=24, threshold=22 |
19.1% | -53.3% | 0.70 | 0.36 | 19.9x | 83 | 43% |
| Buy and hold | 22.0% | -79.9% | 0.64 | 0.28 | 30.2x | 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) — 27-day volatility, 1.5× band
- Sell — Sell when price drops below the trend line (flips down)