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 38.5%, MDD -47.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.0%, drawdown -96.6%).
Sharpe leader (same as main): Supertrend — CAGR 38.5%, MDD -47.8%, Sharpe 0.88, 40% exposure.
Return/drawdown alternative: Supertrend — CAGR is 55.5%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 38.5%, 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 |
38.5% | -47.8% | 0.88 | 0.81 | 8.6x | 62 | 40% |
| MACD fast=19, slow=51, signal=19 |
23.3% | -73.3% | 0.61 | 0.32 | 4.0x | 48 | 55% |
| Parabolic SAR step=0.04, maxStep=0.08 |
17.0% | -64.5% | 0.52 | 0.26 | 2.8x | 130 | 44% |
| Donchian 채널 돌파 entryN=6, exitN=10 |
10.8% | -80.4% | 0.46 | 0.13 | 2.0x | 72 | 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 |
7.6% | -75.6% | 0.41 | 0.10 | 1.6x | 68 | 40% |
| ADX / DI 방향성 period=21, threshold=8 |
3.7% | -86.1% | 0.37 | 0.04 | 1.3x | 96 | 60% |
| EMA 크로스오버 fast=15, slow=276 |
2.8% | -62.0% | 0.32 | 0.04 | 1.2x | 8 | 27% |
| ROC 모멘텀 n=142, threshold=0.13 |
3.0% | -63.5% | 0.32 | 0.05 | 1.2x | 42 | 24% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=22, mult=1.1 |
-6.0% | -76.1% | 0.14 | -0.08 | 0.7x | 54 | 32% |
| Buy and hold | -17.0% | -96.6% | 0.20 | -0.18 | 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)