Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SKY Perfect JSAT Corporation backtest
10 trend-following strategies were compared on the full daily history of SKY Perfect JSAT Corporation. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -27.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.3%, drawdown -93.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -33.4%, Sharpe 0.35, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -68.4%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 59.7%p (CAGR 2.9%, MDD -27.1%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3.5 |
3.6% | -33.4% | 0.35 | 0.11 | 2.5x | 24 | 9% |
| ADX / DI 방향성 period=24, threshold=28 |
2.9% | -27.1% | 0.33 | 0.11 | 2.1x | 34 | 6% |
| SMA 크로스오버 fast=50, slow=120 |
4.0% | -68.4% | 0.28 | 0.06 | 2.8x | 54 | 51% |
| Donchian 채널 돌파 entryN=152, exitN=82 |
3.2% | -56.8% | 0.26 | 0.06 | 2.3x | 28 | 34% |
| EMA 크로스오버 fast=42, slow=211 |
2.3% | -62.5% | 0.22 | 0.04 | 1.8x | 39 | 43% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=3.9 |
0.7% | -52.4% | 0.12 | 0.01 | 1.2x | 46 | 14% |
| Supertrend period=24, mult=4.7 |
-1.6% | -88.1% | 0.06 | -0.02 | 0.7x | 96 | 52% |
| ROC 모멘텀 n=115, threshold=-0.01 |
-2.3% | -85.9% | 0.02 | -0.03 | 0.5x | 240 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-4.8% | -91.6% | -0.10 | -0.05 | 0.3x | 308 | 50% |
| MACD fast=21, slow=57, signal=16 |
-4.9% | -92.6% | -0.10 | -0.05 | 0.3x | 270 | 51% |
| Buy and hold | -1.3% | -93.1% | 0.14 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 38-day middle average