Trend-Following Backtester · Guide · backtest 한국어
equity · US
Iridium Communications Inc backtest
10 trend-following strategies were compared on the full daily history of Iridium Communications Inc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.4%, drawdown -76.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.9%, MDD -63.0%, Sharpe 0.46, 87% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=10, exitN=93 |
10.9% | -63.0% | 0.46 | 0.17 | 6.7x | 43 | 87% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.15 |
9.2% | -77.2% | 0.42 | 0.12 | 5.0x | 11 | 100% |
| EMA 크로스오버 fast=50, slow=193 |
6.0% | -59.0% | 0.34 | 0.10 | 2.9x | 27 | 56% |
| SMA 크로스오버 fast=40, slow=137 |
5.0% | -57.7% | 0.31 | 0.09 | 2.5x | 51 | 56% |
| Supertrend period=24, mult=4.1 |
3.3% | -54.9% | 0.26 | 0.06 | 1.8x | 81 | 54% |
| ADX / DI 방향성 period=32, threshold=29 |
1.6% | -34.3% | 0.20 | 0.05 | 1.3x | 10 | 3% |
| 볼린저 밴드 돌파 n=64, k=3.4 |
1.7% | -55.6% | 0.18 | 0.03 | 1.4x | 24 | 15% |
| MACD fast=20, slow=41, signal=16 |
0.1% | -57.4% | 0.15 | 0.00 | 1.0x | 192 | 52% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-0.7% | -75.0% | 0.12 | -0.01 | 0.9x | 272 | 53% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=29, mult=4 |
0.4% | -31.1% | 0.09 | 0.01 | 1.1x | 20 | 5% |
| Buy and hold | 9.4% | -76.4% | 0.42 | 0.12 | 5.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 10 days
- Sell — Sell when price breaks below the lowest low of the last 93 days