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 25.3%, MDD -47.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.4%, drawdown -98.1%).
Sharpe leader (same as main): MACD — CAGR 53.0%, MDD -73.6%, Sharpe 0.84, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 82.3%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 25.3%, MDD -47.8%, exposure 29%).
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 |
53.0% | -73.6% | 0.84 | 0.72 | 9.4x | 66 | 56% |
| ADX / DI 방향성 period=15, threshold=32 |
44.0% | -61.5% | 0.76 | 0.72 | 6.9x | 14 | 20% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=2.3 |
40.1% | -55.2% | 0.73 | 0.73 | 5.9x | 24 | 17% |
| Supertrend period=25, mult=4.5 |
38.1% | -70.7% | 0.72 | 0.54 | 5.5x | 17 | 32% |
| 볼린저 밴드 돌파 n=15, k=2.5 |
38.4% | -61.0% | 0.72 | 0.63 | 5.5x | 34 | 19% |
| ROC 모멘텀 n=9, threshold=0.02 |
31.6% | -82.0% | 0.67 | 0.39 | 4.3x | 153 | 35% |
| Donchian 채널 돌파 entryN=32, exitN=9 |
25.3% | -47.8% | 0.65 | 0.53 | 3.3x | 28 | 29% |
| EMA 크로스오버 fast=2, slow=16 |
18.5% | -87.5% | 0.56 | 0.21 | 2.4x | 135 | 46% |
| Parabolic SAR step=0.01, maxStep=0.2 |
14.1% | -66.3% | 0.53 | 0.21 | 2.0x | 72 | 49% |
| SMA 크로스오버 fast=9, slow=27 |
7.7% | -77.2% | 0.45 | 0.10 | 1.5x | 56 | 46% |
| Buy and hold | -29.4% | -98.1% | 0.29 | -0.30 | 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