Trend-Following Backtester · Guide · backtest 한국어
equity · US
Telesat Corporation backtest
10 trend-following strategies were compared on the full daily history of Telesat Corporation. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.0%, MDD -27.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.4%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -63.5%, Sharpe 0.56, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 4.0%, MDD -27.0%, exposure 4%).
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=176 |
15.8% | -63.5% | 0.56 | 0.25 | 21.8x | 29 | 52% |
| Donchian 채널 돌파 entryN=62, exitN=135 |
12.9% | -74.5% | 0.49 | 0.17 | 12.9x | 19 | 65% |
| EMA 크로스오버 fast=49, slow=119 |
10.3% | -66.2% | 0.44 | 0.16 | 7.8x | 39 | 49% |
| Parabolic SAR step=0.03, maxStep=0.38 |
7.1% | -76.7% | 0.37 | 0.09 | 4.2x | 574 | 50% |
| ROC 모멘텀 n=127, threshold=-0.04 |
7.1% | -78.7% | 0.37 | 0.09 | 4.2x | 133 | 58% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=10, mult=3.3 |
4.0% | -27.0% | 0.36 | 0.15 | 2.3x | 20 | 4% |
| MACD fast=15, slow=64, signal=19 |
5.4% | -74.5% | 0.33 | 0.07 | 3.0x | 214 | 53% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
4.3% | -61.9% | 0.30 | 0.07 | 2.4x | 38 | 11% |
| Supertrend period=14, mult=3.1 |
2.7% | -74.0% | 0.26 | 0.04 | 1.7x | 128 | 49% |
| ADX / DI 방향성 period=12, threshold=16 |
2.3% | -87.8% | 0.25 | 0.03 | 1.6x | 386 | 45% |
| Buy and hold | 1.4% | -92.7% | 0.30 | 0.02 | 1.3x | 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 176-day average
- Sell — Sell (to cash) when the 52-day average falls below the 176-day average