Trend-Following Backtester · Guide · backtest 한국어
equity · US
EchoStar Corporation backtest
10 trend-following strategies were compared on the full daily history of EchoStar Corporation. 5 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 7.4%, MDD -22.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.5%, drawdown -80.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.4%, MDD -22.4%, Sharpe 0.65, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, MDD -71.6%, exposure 62%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 58.4%p (CAGR 7.4%, MDD -22.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=11, mult=1.7 |
7.4% | -22.4% | 0.65 | 0.33 | 3.8x | 50 | 6% |
| 볼린저 밴드 돌파 n=23, k=3.3 |
6.2% | -16.5% | 0.55 | 0.38 | 3.1x | 24 | 8% |
| Donchian 채널 돌파 entryN=56, exitN=74 |
11.2% | -71.6% | 0.47 | 0.16 | 7.3x | 26 | 62% |
| SMA 크로스오버 fast=52, slow=185 |
8.0% | -62.8% | 0.38 | 0.13 | 4.2x | 30 | 55% |
| Supertrend period=7, mult=4.5 |
6.9% | -73.6% | 0.35 | 0.09 | 3.5x | 66 | 56% |
| EMA 크로스오버 fast=20, slow=86 |
6.7% | -63.6% | 0.35 | 0.10 | 3.3x | 58 | 52% |
| ROC 모멘텀 n=81, threshold=-0.01 |
5.8% | -78.1% | 0.32 | 0.07 | 2.9x | 196 | 56% |
| ADX / DI 방향성 period=26, threshold=36 |
1.6% | -18.4% | 0.26 | 0.09 | 1.3x | 8 | 3% |
| MACD fast=18, slow=41, signal=18 |
-1.5% | -79.6% | 0.10 | -0.02 | 0.8x | 217 | 47% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-3.8% | -85.0% | 0.03 | -0.05 | 0.5x | 482 | 50% |
| Buy and hold | 6.5% | -80.8% | 0.35 | 0.08 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 6-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average