Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pegasystems Inc. backtest
10 trend-following strategies were compared on the full daily history of Pegasystems Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -64.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -94.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.2%, MDD -64.3%, Sharpe 0.34, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 30.5%p (CAGR 6.2%, MDD -64.3%, exposure 39%).
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=38, threshold=12 |
6.2% | -64.3% | 0.34 | 0.10 | 6.2x | 200 | 39% |
| SMA 크로스오버 fast=59, slow=282 |
5.9% | -80.5% | 0.34 | 0.07 | 5.7x | 36 | 61% |
| Donchian 채널 돌파 entryN=13, exitN=65 |
4.4% | -92.4% | 0.34 | 0.05 | 3.7x | 92 | 82% |
| 볼린저 밴드 돌파 n=55, k=1.7 |
5.8% | -74.0% | 0.33 | 0.08 | 5.4x | 126 | 40% |
| EMA 크로스오버 fast=43, slow=50 |
5.7% | -86.6% | 0.33 | 0.07 | 5.2x | 80 | 58% |
| MACD fast=25, slow=55, signal=29 |
4.1% | -82.2% | 0.31 | 0.05 | 3.3x | 223 | 53% |
| ROC 모멘텀 n=9, threshold=-0.09 |
1.2% | -90.2% | 0.29 | 0.01 | 1.4x | 485 | 87% |
| Supertrend period=11, mult=2.6 |
2.8% | -85.8% | 0.27 | 0.03 | 2.3x | 236 | 56% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=27, mult=0.6 |
2.5% | -71.5% | 0.25 | 0.03 | 2.1x | 264 | 52% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.5% | -92.7% | 0.21 | -0.01 | 0.9x | 592 | 52% |
| Buy and hold | 7.9% | -94.8% | 0.43 | 0.08 | 9.8x | 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, 38-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)