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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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1996-07-19 ~ 2026-08-31daily bars 7,577 (30.1 years)Costs 0.5%Venue XNASMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.6%, drawdown -94.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -92.4%, Sharpe 0.35, 82% exposure.

CAGR reference leader: ADX / DI 방향성 — CAGR 6.4%, MDD -64.3%, exposure 39%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=13, exitN=65
4.8%-92.4%0.350.054.1x9382%
ADX / DI 방향성
period=38, threshold=12
6.4%-64.3%0.350.106.5x20339%
SMA 크로스오버
fast=59, slow=282
5.9%-80.5%0.340.075.7x3661%
볼린저 밴드 돌파
n=55, k=1.7
5.8%-74.0%0.330.085.5x12740%
EMA 크로스오버
fast=43, slow=50
5.6%-86.6%0.330.075.2x8058%
MACD
fast=25, slow=55, signal=29
4.7%-82.2%0.320.064.0x22353%
ROC 모멘텀
n=9, threshold=-0.09
1.8%-90.2%0.300.021.7x48587%
Supertrend
period=11, mult=2.6
3.4%-85.8%0.280.042.7x23756%
Keltner 채널 돌파
emaPeriod=72, atrPeriod=27, mult=0.6
2.7%-71.5%0.260.042.2x26552%
Parabolic SAR
step=0.02, maxStep=0.12
0.0%-92.7%0.220.001.0x59352%
Buy and hold8.6%-94.8%0.440.0911.8x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 ADX / DI 방향성Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ADX / DI 방향성 (CAGR reference), Buy and hold.
0% -24% -47% -71% -95% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdADX / DI 방향성Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -92.4% (1997-02-03 → 2003-04-09), recovered after 8,578 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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