Trend-Following Backtester · Guide · backtest 한국어
equity · US
Satellogic Inc. backtest
10 trend-following strategies were compared on the full daily history of Satellogic Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.9%, MDD -45.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.3%, drawdown -94.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.8%, MDD -70.6%, Sharpe 0.63, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 36.2%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 17.9%, MDD -45.8%, 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=11, k=1.8 |
23.8% | -70.6% | 0.63 | 0.34 | 3.2x | 78 | 21% |
| Parabolic SAR step=0.025, maxStep=0.18 |
22.2% | -90.1% | 0.62 | 0.25 | 3.0x | 122 | 41% |
| MACD fast=13, slow=20, signal=14 |
17.7% | -82.4% | 0.59 | 0.21 | 2.4x | 94 | 50% |
| EMA 크로스오버 fast=2, slow=267 |
17.7% | -57.9% | 0.57 | 0.31 | 2.4x | 11 | 27% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.1 |
17.9% | -45.8% | 0.56 | 0.39 | 2.4x | 16 | 6% |
| ROC 모멘텀 n=9, threshold=0.03 |
16.1% | -72.8% | 0.55 | 0.22 | 2.2x | 160 | 29% |
| ADX / DI 방향성 period=12, threshold=37 |
16.5% | -49.6% | 0.53 | 0.33 | 2.3x | 18 | 11% |
| Donchian 채널 돌파 entryN=23, exitN=58 |
6.5% | -77.1% | 0.48 | 0.08 | 1.4x | 19 | 57% |
| SMA 크로스오버 fast=20, slow=24 |
6.1% | -67.5% | 0.43 | 0.09 | 1.4x | 79 | 43% |
| Supertrend period=29, mult=3.2 |
5.0% | -70.6% | 0.40 | 0.07 | 1.3x | 31 | 33% |
| Buy and hold | -12.3% | -94.4% | 0.37 | -0.13 | 0.5x | 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 11-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 11-day middle average