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 18.2%, MDD -45.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.4%, drawdown -94.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.7%, MDD -70.6%, Sharpe 0.58, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.1%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 18.2%, 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 |
19.7% | -70.6% | 0.58 | 0.28 | 2.6x | 76 | 21% |
| ADX / DI 방향성 period=12, threshold=37 |
19.3% | -49.6% | 0.57 | 0.39 | 2.6x | 16 | 10% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=3.1 |
18.2% | -45.8% | 0.57 | 0.40 | 2.4x | 16 | 6% |
| EMA 크로스오버 fast=2, slow=267 |
17.9% | -57.9% | 0.57 | 0.31 | 2.4x | 10 | 27% |
| ROC 모멘텀 n=9, threshold=0.03 |
14.9% | -72.8% | 0.54 | 0.20 | 2.1x | 156 | 29% |
| MACD fast=13, slow=20, signal=14 |
11.6% | -82.4% | 0.53 | 0.14 | 1.8x | 93 | 49% |
| Parabolic SAR step=0.025, maxStep=0.18 |
12.4% | -90.1% | 0.51 | 0.14 | 1.9x | 120 | 41% |
| Donchian 채널 돌파 entryN=23, exitN=58 |
9.3% | -77.1% | 0.51 | 0.12 | 1.6x | 18 | 56% |
| SMA 크로스오버 fast=20, slow=24 |
10.1% | -67.5% | 0.48 | 0.15 | 1.7x | 78 | 43% |
| Supertrend period=29, mult=3.2 |
7.7% | -70.6% | 0.44 | 0.11 | 1.5x | 30 | 32% |
| Buy and hold | -17.4% | -94.4% | 0.32 | -0.18 | 0.4x | 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