Trend-Following Backtester · Guide · backtest 한국어
equity · CA
MDA Space Ltd backtest
10 trend-following strategies were compared on the full daily history of MDA Space Ltd. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.7%, MDD -29.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 22.2%, drawdown -68.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.1%, MDD -31.4%, Sharpe 1.08, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 33.6%, MDD -52.5%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 26.7%, MDD -29.2%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=37, threshold=0.12 |
29.1% | -31.4% | 1.08 | 0.93 | 3.9x | 52 | 33% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=1.1 |
26.3% | -32.6% | 1.03 | 0.81 | 3.5x | 60 | 32% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
26.7% | -29.2% | 1.01 | 0.92 | 3.5x | 40 | 37% |
| SMA 크로스오버 fast=25, slow=32 |
33.6% | -52.5% | 0.97 | 0.64 | 4.7x | 50 | 55% |
| Parabolic SAR step=0.045, maxStep=0.2 |
29.8% | -56.4% | 0.93 | 0.53 | 4.0x | 162 | 52% |
| Donchian 채널 돌파 entryN=91, exitN=93 |
29.8% | -48.1% | 0.84 | 0.62 | 4.0x | 3 | 61% |
| Supertrend period=10, mult=3.8 |
24.6% | -36.4% | 0.80 | 0.68 | 3.2x | 22 | 55% |
| ADX / DI 방향성 period=11, threshold=35 |
14.4% | -24.8% | 0.79 | 0.58 | 2.0x | 30 | 19% |
| EMA 크로스오버 fast=59, slow=249 |
26.0% | -53.8% | 0.78 | 0.48 | 3.4x | 3 | 55% |
| MACD fast=10, slow=58, signal=9 |
17.6% | -52.4% | 0.67 | 0.34 | 2.4x | 82 | 47% |
| Buy and hold | 22.2% | -68.3% | 0.65 | 0.33 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 37-day return is greater than 12%
- Sell — Sell when the 37-day return drops to 12% or below