Trend-Following Backtester · Guide · backtest 한국어
equity · SG
SATS Ltd backtest
10 trend-following strategies were compared on the full daily history of SATS Ltd. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.5%, MDD -27.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.3%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -59.5%, Sharpe 0.32, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 1.5%, MDD -27.9%, exposure 8%).
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=8, slow=121 |
4.1% | -59.5% | 0.32 | 0.07 | 2.9x | 85 | 53% |
| EMA 크로스오버 fast=14, slow=140 |
3.7% | -56.0% | 0.30 | 0.07 | 2.6x | 79 | 53% |
| Donchian 채널 돌파 entryN=105, exitN=66 |
3.2% | -47.0% | 0.28 | 0.07 | 2.3x | 43 | 45% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
1.5% | -27.9% | 0.24 | 0.06 | 1.5x | 45 | 8% |
| ADX / DI 방향성 period=21, threshold=10 |
2.7% | -51.7% | 0.23 | 0.05 | 2.0x | 377 | 53% |
| ROC 모멘텀 n=72, threshold=0.22 |
1.5% | -32.5% | 0.21 | 0.05 | 1.5x | 69 | 7% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=1.3 |
0.6% | -68.3% | 0.12 | 0.01 | 1.2x | 185 | 44% |
| Parabolic SAR step=0.015, maxStep=0.24 |
0.3% | -64.9% | 0.11 | 0.00 | 1.1x | 389 | 53% |
| Supertrend period=25, mult=2.5 |
-0.6% | -71.5% | 0.06 | -0.01 | 0.9x | 237 | 53% |
| MACD fast=19, slow=47, signal=16 |
-6.7% | -92.2% | -0.03 | -0.07 | 0.2x | 292 | 53% |
| Buy and hold | -5.3% | -95.4% | 0.08 | -0.06 | 0.2x | 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 8-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 8-day average falls below the 121-day average