Trend-Following Backtester · Guide · backtest 한국어
equity · CA
MDA Space Ltd backtest
10 trend-following strategies were compared on the full daily history of MDA Space Ltd. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.3%, MDD -29.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 20.5%, drawdown -68.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 28.6%, MDD -31.4%, Sharpe 1.08, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 32.3%, MDD -52.5%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 26.3%, MDD -29.2%, exposure 37%).
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=37, threshold=0.12 |
28.6% | -31.4% | 1.08 | 0.91 | 3.9x | 52 | 33% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
26.3% | -29.2% | 1.00 | 0.90 | 3.5x | 40 | 37% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=1.1 |
25.2% | -32.6% | 0.99 | 0.77 | 3.4x | 62 | 32% |
| Parabolic SAR step=0.045, maxStep=0.2 |
31.7% | -56.4% | 0.97 | 0.56 | 4.4x | 164 | 52% |
| SMA 크로스오버 fast=25, slow=32 |
32.3% | -52.5% | 0.95 | 0.61 | 4.5x | 51 | 54% |
| Donchian 채널 돌파 entryN=91, exitN=93 |
27.9% | -48.1% | 0.80 | 0.58 | 3.8x | 3 | 61% |
| Supertrend period=10, mult=3.8 |
24.2% | -36.4% | 0.79 | 0.66 | 3.2x | 22 | 55% |
| ADX / DI 방향성 period=11, threshold=35 |
14.1% | -24.8% | 0.78 | 0.57 | 2.0x | 30 | 19% |
| EMA 크로스오버 fast=59, slow=249 |
24.2% | -53.8% | 0.74 | 0.45 | 3.2x | 3 | 55% |
| MACD fast=10, slow=58, signal=9 |
14.7% | -52.4% | 0.59 | 0.28 | 2.1x | 84 | 48% |
| Buy and hold | 20.5% | -68.3% | 0.62 | 0.30 | 2.7x | 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 37-day return is greater than 12%
- Sell — Sell when the 37-day return drops to 12% or below