Trend-Following Backtester · Guide · backtest 한국어

equity · US

SBA Communications Corporation backtest

10 trend-following strategies were compared on the full daily history of SBA Communications Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.7%, MDD -27.9%).

Data 1999-06-16 ~ 2026-07-31daily bars 6,823 (27.1 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 11.7%, drawdown -99.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.2%, MDD -63.0%, Sharpe 0.84, 62% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 10.7%, MDD -27.9%, exposure 9%).

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
SMA 크로스오버
fast=52, slow=102
24.2%-63.0%0.840.38355.4x6062%
Donchian 채널 돌파
entryN=75, exitN=77
19.5%-60.2%0.740.32124.6x3661%
EMA 크로스오버
fast=28, slow=112
19.3%-69.8%0.730.28119.5x5865%
ROC 모멘텀
n=106, threshold=-0.04
18.1%-58.0%0.680.3190.8x21670%
볼린저 밴드 돌파
n=36, k=3.2
10.7%-27.9%0.650.3915.9x249%
Supertrend
period=24, mult=4.7
14.5%-86.8%0.570.1739.6x8460%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=16, mult=3.9
9.8%-47.2%0.540.2112.5x5824%
ADX / DI 방향성
period=35, threshold=22
7.3%-30.0%0.490.246.7x5215%
Parabolic SAR
step=0.03, maxStep=0.18
8.7%-94.3%0.400.099.6x76354%
MACD
fast=6, slow=32, signal=10
7.5%-88.7%0.370.087.2x65951%
Buy and hold11.7%-99.6%0.480.1220.3x1100%
0.1 1x 10x 100x 2000 2004 2008 2012 2016 2020 2024 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2000 2004 2008 2012 2016 2020 2024 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -63.0% (2021-09-08 → 2026-06-30), prior peak not yet recovered.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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