Trend-Following Backtester · Guide · backtest 한국어

equity · US

Global Payments Inc. backtest

10 trend-following strategies were compared on the full daily history of Global Payments Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.

Data 2001-01-16 ~ 2026-07-31daily bars 6,423 (25.5 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.9%, drawdown -71.5%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.7%, MDD -53.4%, Sharpe 0.44, 62% exposure.

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
EMA 크로스오버
fast=40, slow=194
7.7%-53.4%0.440.146.7x3562%
Donchian 채널 돌파
entryN=56, exitN=57
7.5%-61.2%0.430.126.3x5164%
볼린저 밴드 돌파
n=53, k=3.1
3.8%-26.7%0.400.142.6x3818%
SMA 크로스오버
fast=6, slow=195
6.2%-65.1%0.390.104.7x7559%
Keltner 채널 돌파
emaPeriod=67, atrPeriod=23, mult=3.3
4.0%-28.1%0.330.142.7x7936%
Supertrend
period=28, mult=4.8
3.8%-74.4%0.280.052.6x9157%
ADX / DI 방향성
period=26, threshold=31
1.5%-18.3%0.250.081.5x246%
ROC 모멘텀
n=168, threshold=0.05
2.2%-73.8%0.210.031.7x17555%
Parabolic SAR
step=0.005, maxStep=0.26
-1.4%-81.9%0.05-0.020.7x22956%
MACD
fast=18, slow=57, signal=17
-1.6%-72.1%0.04-0.020.7x29553%
Buy and hold12.9%-71.5%0.530.1822.3x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -36% -54% -72% 2002 2006 2010 2014 2018 2022 2026 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -53.4% (2006-03-20 → 2008-10-15), recovered after 3,144 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

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 setupAll asset reports

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