Trend-Following Backtester · Guide · backtest 한국어
equity · US
PayPal Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of PayPal Holdings, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.6%, MDD -24.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.2%, drawdown -87.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -25.8%, Sharpe 0.62, 44% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.1%, MDD -51.0%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 5.6%, MDD -24.4%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=116, exitN=62 |
11.1% | -25.8% | 0.62 | 0.43 | 3.2x | 13 | 44% |
| EMA 크로스오버 fast=45, slow=270 |
12.1% | -51.0% | 0.58 | 0.24 | 3.6x | 9 | 53% |
| SMA 크로스오버 fast=57, slow=180 |
11.3% | -44.3% | 0.54 | 0.26 | 3.3x | 11 | 56% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
5.6% | -24.4% | 0.48 | 0.23 | 1.8x | 16 | 16% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=4 |
5.6% | -28.9% | 0.46 | 0.19 | 1.8x | 18 | 21% |
| ROC 모멘텀 n=118, threshold=0.14 |
6.6% | -38.6% | 0.43 | 0.17 | 2.0x | 77 | 32% |
| Supertrend period=15, mult=4.5 |
5.2% | -39.8% | 0.33 | 0.13 | 1.8x | 44 | 53% |
| ADX / DI 방향성 period=29, threshold=31 |
1.9% | -22.5% | 0.31 | 0.08 | 1.2x | 6 | 5% |
| MACD fast=21, slow=111, signal=49 |
4.0% | -69.9% | 0.28 | 0.06 | 1.5x | 55 | 53% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-2.4% | -74.6% | 0.05 | -0.03 | 0.8x | 224 | 56% |
| Buy and hold | 3.2% | -87.3% | 0.28 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 116 days
- Sell — Sell when price breaks below the lowest low of the last 62 days