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. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.9%, MDD -27.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.4%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.7%, MDD -65.3%, Sharpe 0.57, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 27.4%p (CAGR 4.9%, MDD -27.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=175 |
16.7% | -65.3% | 0.57 | 0.26 | 26.3x | 29 | 53% |
| ROC 모멘텀 n=140, threshold=-0.08 |
14.8% | -62.4% | 0.53 | 0.24 | 18.6x | 85 | 63% |
| Donchian 채널 돌파 entryN=60, exitN=129 |
14.2% | -74.5% | 0.52 | 0.19 | 16.7x | 19 | 65% |
| EMA 크로스오버 fast=24, slow=155 |
12.0% | -60.4% | 0.48 | 0.20 | 11.0x | 37 | 49% |
| Parabolic SAR step=0.03, maxStep=0.36 |
8.5% | -76.7% | 0.40 | 0.11 | 5.6x | 578 | 50% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=8, mult=3.3 |
4.9% | -27.0% | 0.40 | 0.18 | 2.8x | 22 | 6% |
| MACD fast=15, slow=18, signal=15 |
5.4% | -83.1% | 0.33 | 0.07 | 3.1x | 318 | 51% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
4.8% | -52.0% | 0.33 | 0.09 | 2.7x | 34 | 11% |
| Supertrend period=23, mult=2.9 |
2.0% | -72.0% | 0.24 | 0.03 | 1.5x | 142 | 47% |
| ADX / DI 방향성 period=12, threshold=18 |
0.8% | -87.6% | 0.21 | 0.01 | 1.2x | 358 | 41% |
| Buy and hold | 2.4% | -92.7% | 0.32 | 0.03 | 1.7x | 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 175-day average
- Sell — Sell (to cash) when the 52-day average falls below the 175-day average