Trend-Following Backtester · Guide · backtest 한국어
equity · US
PagerDuty, Inc. backtest
10 trend-following strategies were compared on the full daily history of PagerDuty, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -25.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -12.7%, drawdown -90.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -42.5%, Sharpe 0.50, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.0%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 6.0%, MDD -25.6%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=115 |
11.4% | -42.5% | 0.50 | 0.27 | 2.2x | 19 | 32% |
| ADX / DI 방향성 period=38, threshold=18 |
6.0% | -25.6% | 0.41 | 0.24 | 1.5x | 7 | 6% |
| Donchian 채널 돌파 entryN=78, exitN=64 |
3.3% | -63.3% | 0.26 | 0.05 | 1.3x | 7 | 32% |
| Supertrend period=11, mult=3.7 |
1.5% | -70.8% | 0.23 | 0.02 | 1.1x | 27 | 44% |
| EMA 크로스오버 fast=39, slow=81 |
2.1% | -68.6% | 0.22 | 0.03 | 1.2x | 15 | 32% |
| 볼린저 밴드 돌파 n=73, k=1.1 |
-1.2% | -74.9% | 0.12 | -0.02 | 0.9x | 33 | 26% |
| ROC 모멘텀 n=146, threshold=0.07 |
-3.0% | -62.0% | 0.04 | -0.05 | 0.8x | 43 | 22% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=15, mult=4 |
-3.1% | -43.0% | -0.06 | -0.07 | 0.8x | 9 | 9% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-16.9% | -89.2% | -0.32 | -0.19 | 0.3x | 61 | 43% |
| MACD fast=15, slow=40, signal=15 |
-21.2% | -90.2% | -0.38 | -0.24 | 0.2x | 93 | 52% |
| Buy and hold | -12.7% | -90.0% | 0.07 | -0.14 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 30-day average falls below the 115-day average