Trend-Following Backtester · Guide · backtest 한국어
equity · US
Globalstar, Inc. backtest
10 trend-following strategies were compared on the full daily history of Globalstar, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.7%, MDD -62.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.8%, drawdown -99.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.7%, MDD -62.5%, Sharpe 0.61, 22% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 26.5%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 20.7%, MDD -62.5%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=5 |
20.7% | -62.5% | 0.61 | 0.33 | 41.9x | 142 | 22% |
| Parabolic SAR step=0.03, maxStep=0.26 |
16.2% | -79.6% | 0.52 | 0.20 | 19.7x | 464 | 44% |
| 볼린저 밴드 돌파 n=69, k=0.7 |
14.2% | -87.5% | 0.51 | 0.16 | 14.0x | 99 | 39% |
| SMA 크로스오버 fast=11, slow=50 |
12.2% | -88.1% | 0.49 | 0.14 | 9.9x | 107 | 46% |
| ROC 모멘텀 n=60, threshold=0.04 |
11.0% | -88.7% | 0.47 | 0.12 | 8.0x | 208 | 44% |
| ADX / DI 방향성 period=37, threshold=22 |
11.8% | -79.3% | 0.45 | 0.15 | 9.2x | 44 | 21% |
| Supertrend period=27, mult=3.5 |
10.4% | -76.8% | 0.44 | 0.14 | 7.1x | 89 | 39% |
| EMA 크로스오버 fast=36, slow=208 |
10.2% | -85.1% | 0.44 | 0.12 | 6.9x | 25 | 35% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=2.2 |
10.4% | -85.1% | 0.43 | 0.12 | 7.1x | 94 | 22% |
| MACD fast=9, slow=32, signal=19 |
-3.3% | -91.8% | 0.30 | -0.04 | 0.5x | 310 | 52% |
| Buy and hold | -5.8% | -99.1% | 0.39 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 24 days
- Sell — Sell when price breaks below the lowest low of the last 5 days