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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -47.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -34.6%, Sharpe 0.45, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.0%, MDD -42.4%, exposure 89%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=32, slow=244 |
7.5% | -34.6% | 0.45 | 0.22 | 2.9x | 22 | 64% |
| EMA 크로스오버 fast=54, slow=170 |
7.4% | -30.0% | 0.44 | 0.25 | 2.8x | 22 | 69% |
| ROC 모멘텀 n=77, threshold=-0.11 |
8.0% | -42.4% | 0.43 | 0.19 | 3.1x | 62 | 89% |
| 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 | 24% |
| 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% |
| Supertrend period=18, mult=3.1 |
0.3% | -59.4% | 0.11 | 0.00 | 1.0x | 96 | 56% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-3.8% | -57.7% | -0.10 | -0.07 | 0.6x | 208 | 53% |
| MACD fast=19, slow=35, signal=18 |
-4.7% | -60.7% | -0.18 | -0.08 | 0.5x | 177 | 49% |
| Buy and hold | 11.2% | -47.4% | 0.52 | 0.24 | 4.7x | 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 32-day average price crosses above the 244-day average
- Sell — Sell (to cash) when the 32-day average falls below the 244-day average