Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Eutelsat Communications SA backtest
10 trend-following strategies were compared on the full daily history of Eutelsat Communications SA. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -25.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.2%, drawdown -96.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.2%, MDD -25.6%, Sharpe 0.29, 0% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 70.7%p (CAGR 6.2%, MDD -25.6%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=25, mult=3 |
6.2% | -25.6% | 0.29 | 0.24 | 3.5x | 4 | 0% |
| ROC 모멘텀 n=1, threshold=0.09 |
5.8% | -31.7% | 0.27 | 0.18 | 3.2x | 36 | 0% |
| ADX / DI 방향성 period=22, threshold=25 |
1.7% | -56.5% | 0.17 | 0.03 | 1.4x | 60 | 13% |
| Supertrend period=24, mult=3.8 |
1.0% | -78.0% | 0.17 | 0.01 | 1.2x | 94 | 49% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.1% | -56.5% | 0.11 | 0.00 | 1.0x | 10 | 4% |
| Donchian 채널 돌파 entryN=10, exitN=25 |
-5.0% | -86.2% | 0.05 | -0.06 | 0.3x | 134 | 68% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-5.6% | -95.1% | 0.03 | -0.06 | 0.3x | 372 | 50% |
| SMA 크로스오버 fast=58, slow=210 |
-3.0% | -82.7% | -0.03 | -0.04 | 0.5x | 29 | 45% |
| MACD fast=23, slow=56, signal=27 |
-8.1% | -93.9% | -0.04 | -0.09 | 0.2x | 178 | 50% |
| EMA 크로스오버 fast=12, slow=275 |
-7.4% | -88.7% | -0.23 | -0.08 | 0.2x | 46 | 40% |
| Buy and hold | -8.2% | -96.4% | 0.05 | -0.09 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 4-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average