Trend-Following Backtester · Guide · backtest 한국어
equity · US
SBA Communications Corporation backtest
10 trend-following strategies were compared on the full daily history of SBA Communications Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.7%, MDD -27.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.7%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.2%, MDD -63.0%, Sharpe 0.84, 62% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 10.7%, MDD -27.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=102 |
24.2% | -63.0% | 0.84 | 0.38 | 355.4x | 60 | 62% |
| Donchian 채널 돌파 entryN=75, exitN=77 |
19.5% | -60.2% | 0.74 | 0.32 | 124.6x | 36 | 61% |
| EMA 크로스오버 fast=28, slow=112 |
19.3% | -69.8% | 0.73 | 0.28 | 119.5x | 58 | 65% |
| ROC 모멘텀 n=106, threshold=-0.04 |
18.1% | -58.0% | 0.68 | 0.31 | 90.8x | 216 | 70% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
10.7% | -27.9% | 0.65 | 0.39 | 15.9x | 24 | 9% |
| Supertrend period=24, mult=4.7 |
14.5% | -86.8% | 0.57 | 0.17 | 39.6x | 84 | 60% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=3.9 |
9.8% | -47.2% | 0.54 | 0.21 | 12.5x | 58 | 24% |
| ADX / DI 방향성 period=35, threshold=22 |
7.3% | -30.0% | 0.49 | 0.24 | 6.7x | 52 | 15% |
| Parabolic SAR step=0.03, maxStep=0.18 |
8.7% | -94.3% | 0.40 | 0.09 | 9.6x | 763 | 54% |
| MACD fast=6, slow=32, signal=10 |
7.5% | -88.7% | 0.37 | 0.08 | 7.2x | 659 | 51% |
| Buy and hold | 11.7% | -99.6% | 0.48 | 0.12 | 20.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 52-day average falls below the 102-day average