Trend-Following Backtester · Guide · backtest 한국어
equity · US
Postal Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Postal Realty Trust, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.6%, MDD -25.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.2%, drawdown -41.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.6%, MDD -25.1%, Sharpe 0.58, 35% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 7.6%, MDD -25.1%, exposure 35%).
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=40, slow=288 |
7.6% | -25.1% | 0.58 | 0.30 | 1.7x | 5 | 35% |
| Donchian 채널 돌파 entryN=132, exitN=90 |
6.0% | -27.1% | 0.48 | 0.22 | 1.5x | 5 | 33% |
| SMA 크로스오버 fast=65, slow=217 |
6.5% | -33.1% | 0.48 | 0.20 | 1.6x | 9 | 33% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=3.4 |
1.0% | -9.0% | 0.21 | 0.12 | 1.1x | 10 | 7% |
| ROC 모멘텀 n=141, threshold=0.14 |
1.3% | -30.1% | 0.17 | 0.04 | 1.1x | 47 | 19% |
| Supertrend period=16, mult=5 |
0.8% | -41.7% | 0.14 | 0.02 | 1.1x | 19 | 52% |
| ADX / DI 방향성 period=10, threshold=27 |
0.6% | -42.9% | 0.11 | 0.01 | 1.0x | 78 | 26% |
| 볼린저 밴드 돌파 n=14, k=2.1 |
-0.3% | -38.1% | 0.03 | -0.01 | 1.0x | 62 | 22% |
| MACD fast=16, slow=32, signal=16 |
-5.2% | -60.7% | -0.22 | -0.09 | 0.7x | 94 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-8.6% | -62.0% | -0.41 | -0.14 | 0.5x | 130 | 51% |
| Buy and hold | 4.2% | -41.2% | 0.29 | 0.10 | 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 40-day EMA crosses above the 288-day EMA
- Sell — Sell when the 40-day EMA falls below the 288-day EMA