Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gilat Satellite Networks Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gilat Satellite Networks Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.1%, MDD -46.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.4%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -46.3%, Sharpe 0.36, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.4%, MDD -53.6%, exposure 20%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 4.1%, MDD -46.3%, exposure 4%).
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=21, k=3.5 |
4.1% | -46.3% | 0.36 | 0.09 | 3.8x | 28 | 4% |
| ADX / DI 방향성 period=25, threshold=33 |
3.8% | -47.2% | 0.32 | 0.08 | 3.5x | 36 | 6% |
| Donchian 채널 돌파 entryN=103, exitN=16 |
4.4% | -53.6% | 0.30 | 0.08 | 4.2x | 86 | 20% |
| SMA 크로스오버 fast=57, slow=192 |
4.4% | -69.2% | 0.30 | 0.06 | 4.2x | 48 | 51% |
| EMA 크로스오버 fast=53, slow=89 |
2.5% | -85.3% | 0.24 | 0.03 | 2.3x | 70 | 51% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=17, mult=4 |
2.9% | -64.7% | 0.24 | 0.04 | 2.6x | 72 | 23% |
| ROC 모멘텀 n=199, threshold=0.12 |
1.8% | -79.8% | 0.21 | 0.02 | 1.8x | 204 | 41% |
| Supertrend period=17, mult=4.6 |
-0.2% | -86.6% | 0.17 | -0.00 | 0.9x | 124 | 46% |
| MACD fast=13, slow=55, signal=19 |
-5.3% | -95.6% | 0.06 | -0.06 | 0.2x | 398 | 52% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-5.0% | -92.0% | 0.04 | -0.05 | 0.2x | 662 | 49% |
| Buy and hold | -9.4% | -99.9% | 0.10 | -0.09 | 0.0x | 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 21-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 21-day middle average