Trend-Following Backtester · Guide · backtest 한국어
equity · US
AST SpaceMobile, Inc. backtest
10 trend-following strategies were compared on the full daily history of AST SpaceMobile, Inc.. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 59.1%, MDD -53.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 30.1%, drawdown -91.1%).
Sharpe leader (same as main): MACD — CAGR 70.3%, MDD -62.0%, Sharpe 1.02, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 40.3%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 59.1%, MDD -53.6%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=53, signal=15 |
70.3% | -62.0% | 1.02 | 1.14 | 38.0x | 63 | 49% |
| ADX / DI 방향성 period=6, threshold=28 |
59.1% | -53.6% | 0.97 | 1.10 | 23.8x | 138 | 42% |
| Supertrend period=22, mult=3.2 |
50.7% | -56.8% | 0.90 | 0.89 | 16.5x | 42 | 43% |
| 볼린저 밴드 돌파 n=29, k=1.8 |
51.1% | -56.6% | 0.89 | 0.90 | 16.8x | 46 | 34% |
| SMA 크로스오버 fast=9, slow=27 |
43.6% | -59.7% | 0.81 | 0.73 | 11.8x | 64 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
42.6% | -66.4% | 0.81 | 0.64 | 11.3x | 114 | 48% |
| Donchian 채널 돌파 entryN=38, exitN=9 |
35.5% | -60.4% | 0.77 | 0.59 | 8.0x | 38 | 30% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=23, mult=2.5 |
35.1% | -56.9% | 0.77 | 0.62 | 7.8x | 34 | 24% |
| ROC 모멘텀 n=24, threshold=0.13 |
35.8% | -62.2% | 0.75 | 0.57 | 8.1x | 96 | 29% |
| EMA 크로스오버 fast=7, slow=282 |
24.6% | -87.0% | 0.64 | 0.28 | 4.5x | 16 | 44% |
| Buy and hold | 30.1% | -91.1% | 0.73 | 0.33 | 6.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/53) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line