Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pitney Bowes Inc. backtest
10 trend-following strategies were compared on the full daily history of Pitney Bowes Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -54.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.8%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -58.1%, Sharpe 0.49, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 6.4%, MDD -54.1%, exposure 41%).
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=58, slow=374 |
10.4% | -58.1% | 0.49 | 0.18 | 209.4x | 33 | 58% |
| EMA 크로스오버 fast=58, slow=209 |
8.9% | -58.3% | 0.44 | 0.15 | 102.0x | 45 | 57% |
| Donchian 채널 돌파 entryN=153, exitN=72 |
6.4% | -54.1% | 0.37 | 0.12 | 28.5x | 61 | 41% |
| ROC 모멘텀 n=196, threshold=-0.04 |
4.7% | -80.0% | 0.30 | 0.06 | 12.2x | 307 | 62% |
| ADX / DI 방향성 period=47, threshold=15 |
2.6% | -50.2% | 0.22 | 0.05 | 4.0x | 121 | 23% |
| Supertrend period=16, mult=5 |
0.7% | -96.8% | 0.16 | 0.01 | 1.5x | 175 | 55% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=21, mult=2.8 |
0.3% | -81.8% | 0.12 | 0.00 | 1.2x | 207 | 35% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
-0.2% | -72.2% | 0.07 | -0.00 | 0.9x | 113 | 19% |
| MACD fast=33, slow=44, signal=33 |
-4.4% | -98.5% | -0.01 | -0.04 | 0.1x | 412 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-6.4% | -99.3% | -0.10 | -0.06 | 0.0x | 443 | 51% |
| Buy and hold | 4.8% | -97.4% | 0.31 | 0.05 | 12.5x | 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 58-day average price crosses above the 374-day average
- Sell — Sell (to cash) when the 58-day average falls below the 374-day average