Trend-Following Backtester · Guide · backtest 한국어
equity · US
Post Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Post Holdings, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.2%, MDD -36.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -47.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -36.1%, Sharpe 0.48, 90% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 11.2%p (CAGR 9.2%, MDD -36.1%, exposure 90%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=77, threshold=-0.11 |
9.2% | -36.1% | 0.48 | 0.25 | 3.6x | 61 | 90% |
| SMA 크로스오버 fast=32, slow=244 |
7.5% | -34.6% | 0.46 | 0.22 | 2.9x | 22 | 64% |
| EMA 크로스오버 fast=54, slow=170 |
7.4% | -30.0% | 0.44 | 0.25 | 2.8x | 22 | 69% |
| Donchian 채널 돌파 entryN=70, exitN=78 |
3.5% | -45.2% | 0.27 | 0.08 | 1.7x | 26 | 61% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=3.4 |
1.6% | -33.5% | 0.19 | 0.05 | 1.3x | 36 | 25% |
| Supertrend period=18, mult=3.1 |
1.3% | -52.6% | 0.17 | 0.03 | 1.2x | 95 | 56% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
0.9% | -19.1% | 0.16 | 0.05 | 1.1x | 14 | 11% |
| ADX / DI 방향성 period=33, threshold=32 |
0.3% | -2.5% | 0.15 | 0.10 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-2.8% | -51.2% | -0.05 | -0.05 | 0.7x | 207 | 53% |
| MACD fast=19, slow=35, signal=18 |
-3.3% | -53.4% | -0.10 | -0.06 | 0.6x | 175 | 49% |
| Buy and hold | 12.0% | -47.4% | 0.55 | 0.25 | 5.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 77-day return is greater than -11%
- Sell — Sell when the 77-day return drops to -11% or below