Trend-Following Backtester · Guide · backtest 한국어
equity · US
BlackSky Technology Inc. backtest
10 trend-following strategies were compared on the full daily history of BlackSky Technology Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 37.0%, MDD -47.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.7%, drawdown -96.6%).
Sharpe leader (same as main): Supertrend — CAGR 37.0%, MDD -47.8%, Sharpe 0.86, 40% exposure.
Return/drawdown alternative: Supertrend — CAGR is 53.7%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 37.0%, MDD -47.8%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=2 |
37.0% | -47.8% | 0.86 | 0.77 | 8.2x | 64 | 40% |
| MACD fast=19, slow=51, signal=19 |
21.3% | -73.3% | 0.59 | 0.29 | 3.6x | 49 | 55% |
| Parabolic SAR step=0.04, maxStep=0.08 |
19.2% | -64.5% | 0.55 | 0.30 | 3.2x | 132 | 44% |
| Donchian 채널 돌파 entryN=6, exitN=10 |
11.6% | -80.4% | 0.47 | 0.14 | 2.1x | 74 | 52% |
| SMA 크로스오버 fast=64, slow=305 |
8.5% | -66.8% | 0.41 | 0.13 | 1.7x | 7 | 27% |
| 볼린저 밴드 돌파 n=37, k=0.8 |
6.0% | -75.6% | 0.39 | 0.08 | 1.5x | 70 | 40% |
| ADX / DI 방향성 period=21, threshold=8 |
1.5% | -86.1% | 0.34 | 0.02 | 1.1x | 100 | 60% |
| EMA 크로스오버 fast=15, slow=276 |
-0.6% | -63.4% | 0.26 | -0.01 | 1.0x | 9 | 27% |
| ROC 모멘텀 n=142, threshold=0.13 |
-0.4% | -70.6% | 0.25 | -0.01 | 1.0x | 50 | 24% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=22, mult=1.1 |
-7.9% | -76.1% | 0.10 | -0.10 | 0.6x | 56 | 32% |
| Buy and hold | -16.7% | -96.6% | 0.20 | -0.17 | 0.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)