Trend-Following Backtester · Guide · backtest 한국어

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Eutelsat Communications SA backtest

10 trend-following strategies were compared on the full daily history of Eutelsat Communications SA. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -25.6%).

Data 2005-12-02 ~ 2026-07-31daily bars 5,285 (20.7 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -8.2%, drawdown -96.4%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.2%, MDD -25.6%, Sharpe 0.29, 0% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 70.7%p (CAGR 6.2%, MDD -25.6%, exposure 0%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=4, atrPeriod=25, mult=3
6.2%-25.6%0.290.243.5x40%
ROC 모멘텀
n=1, threshold=0.09
5.8%-31.7%0.270.183.2x360%
ADX / DI 방향성
period=22, threshold=25
1.7%-56.5%0.170.031.4x6013%
Supertrend
period=24, mult=3.8
1.0%-78.0%0.170.011.2x9449%
볼린저 밴드 돌파
n=51, k=3.5
0.1%-56.5%0.110.001.0x104%
Donchian 채널 돌파
entryN=10, exitN=25
-5.0%-86.2%0.05-0.060.3x13468%
Parabolic SAR
step=0.015, maxStep=0.3
-5.6%-95.1%0.03-0.060.3x37250%
SMA 크로스오버
fast=58, slow=210
-3.0%-82.7%-0.03-0.040.5x2945%
MACD
fast=23, slow=56, signal=27
-8.1%-93.9%-0.04-0.090.2x17850%
EMA 크로스오버
fast=12, slow=275
-7.4%-88.7%-0.23-0.080.2x4640%
Buy and hold-8.2%-96.4%0.05-0.090.2x1100%
0.1 1x 2006 2009 2012 2015 2018 2021 2024 Keltner 채널 돌파Buy and hold
Keltner 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 2006 2009 2012 2015 2018 2021 2024 Buy and holdKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -25.6% (2025-03-05 → 2025-03-07), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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