Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shenandoah Telecommunications Co backtest
10 trend-following strategies were compared on the full daily history of Shenandoah Telecommunications Co. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -83.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -67.9%, Sharpe 0.29, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=44, slow=104 |
4.1% | -67.9% | 0.29 | 0.06 | 3.0x | 76 | 55% |
| EMA 크로스오버 fast=102, slow=212 |
1.9% | -70.7% | 0.24 | 0.03 | 1.7x | 23 | 62% |
| Donchian 채널 돌파 entryN=39, exitN=63 |
0.6% | -86.8% | 0.21 | 0.01 | 1.2x | 64 | 68% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
1.0% | -56.9% | 0.16 | 0.02 | 1.3x | 78 | 22% |
| Supertrend period=17, mult=5 |
-0.8% | -82.9% | 0.14 | -0.01 | 0.8x | 92 | 56% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=17, mult=4 |
0.9% | -57.0% | 0.14 | 0.02 | 1.3x | 48 | 13% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.6% | -83.9% | 0.12 | -0.02 | 0.6x | 236 | 51% |
| ADX / DI 방향성 period=32, threshold=17 |
-0.9% | -63.9% | 0.07 | -0.01 | 0.8x | 96 | 19% |
| ROC 모멘텀 n=120, threshold=-0.01 |
-5.1% | -88.6% | 0.04 | -0.06 | 0.2x | 274 | 59% |
| MACD fast=18, slow=52, signal=16 |
-6.9% | -94.7% | -0.05 | -0.07 | 0.1x | 358 | 52% |
| Buy and hold | 7.1% | -83.8% | 0.38 | 0.08 | 6.5x | 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 44-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 44-day average falls below the 104-day average