Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pagaya Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Pagaya Technologies Ltd.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.2%, MDD -52.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.4%, drawdown -98.1%).
Sharpe leader (same as main): MACD — CAGR 48.8%, MDD -73.6%, Sharpe 0.81, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 76.2%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 24.2%, MDD -52.0%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=32, signal=10 |
48.8% | -73.6% | 0.81 | 0.66 | 8.4x | 69 | 56% |
| ADX / DI 방향성 period=15, threshold=32 |
43.2% | -61.5% | 0.76 | 0.70 | 6.9x | 14 | 20% |
| Supertrend period=25, mult=4.5 |
40.6% | -70.7% | 0.74 | 0.57 | 6.2x | 17 | 34% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=2.3 |
38.6% | -55.2% | 0.72 | 0.70 | 5.8x | 25 | 18% |
| 볼린저 밴드 돌파 n=15, k=2.5 |
35.1% | -61.0% | 0.69 | 0.58 | 5.0x | 36 | 19% |
| ROC 모멘텀 n=9, threshold=0.02 |
33.5% | -82.0% | 0.69 | 0.41 | 4.7x | 155 | 35% |
| Donchian 채널 돌파 entryN=32, exitN=9 |
24.2% | -52.0% | 0.63 | 0.47 | 3.2x | 29 | 30% |
| EMA 크로스오버 fast=2, slow=16 |
20.8% | -87.5% | 0.58 | 0.24 | 2.8x | 135 | 47% |
| Parabolic SAR step=0.01, maxStep=0.2 |
16.4% | -66.3% | 0.55 | 0.25 | 2.3x | 73 | 49% |
| SMA 크로스오버 fast=9, slow=27 |
7.0% | -77.2% | 0.44 | 0.09 | 1.4x | 57 | 47% |
| Buy and hold | -27.4% | -98.1% | 0.31 | -0.28 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/32) crosses above its 10-day signal line
- Sell — Sell when the MACD line crosses back below the signal line