Trend-Following Backtester · Guide · backtest 한국어
equity · US
Permian Basin Royalty Trust backtest
10 trend-following strategies were compared on the full daily history of Permian Basin Royalty Trust. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -70.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.6%, drawdown -92.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -70.0%, Sharpe 0.40, 44% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 7.0%, MDD -70.0%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=213 |
7.0% | -70.0% | 0.40 | 0.10 | 22.3x | 47 | 44% |
| SMA 크로스오버 fast=26, slow=201 |
5.2% | -78.6% | 0.33 | 0.07 | 10.1x | 85 | 46% |
| Donchian 채널 돌파 entryN=51, exitN=58 |
4.3% | -84.3% | 0.29 | 0.05 | 6.8x | 99 | 53% |
| ROC 모멘텀 n=123, threshold=0.13 |
1.8% | -83.5% | 0.19 | 0.02 | 2.3x | 339 | 24% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.2% | -81.3% | 0.12 | -0.00 | 0.9x | 305 | 46% |
| ADX / DI 방향성 period=33, threshold=29 |
0.4% | -26.6% | 0.09 | 0.02 | 1.2x | 28 | 4% |
| 볼린저 밴드 돌파 n=23, k=3.2 |
0.1% | -51.0% | 0.06 | 0.00 | 1.0x | 70 | 6% |
| Supertrend period=16, mult=4.4 |
-2.2% | -95.9% | 0.04 | -0.02 | 0.4x | 146 | 48% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=28, mult=2.8 |
-1.9% | -85.0% | -0.03 | -0.02 | 0.4x | 140 | 16% |
| MACD fast=20, slow=51, signal=25 |
-7.8% | -99.2% | -0.18 | -0.08 | 0.0x | 451 | 48% |
| Buy and hold | 0.6% | -92.0% | 0.20 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 213-day EMA
- Sell — Sell when the 51-day EMA falls below the 213-day EMA