Trend-Following Backtester · Guide · backtest 한국어
equity · US
ViaSat, Inc. backtest
10 trend-following strategies were compared on the full daily history of ViaSat, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -92.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.9%, MDD -61.5%, Sharpe 0.38, 20% 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=3.4 |
6.9% | -61.5% | 0.38 | 0.11 | 7.4x | 76 | 20% |
| Donchian 채널 돌파 entryN=106, exitN=17 |
6.9% | -59.0% | 0.37 | 0.12 | 7.2x | 76 | 26% |
| ROC 모멘텀 n=124, threshold=0.13 |
6.5% | -83.0% | 0.35 | 0.08 | 6.4x | 211 | 36% |
| Supertrend period=18, mult=4.5 |
6.3% | -87.4% | 0.35 | 0.07 | 6.1x | 109 | 53% |
| ADX / DI 방향성 period=33, threshold=18 |
5.5% | -74.3% | 0.33 | 0.07 | 4.9x | 70 | 14% |
| EMA 크로스오버 fast=52, slow=76 |
5.1% | -92.7% | 0.32 | 0.06 | 4.4x | 75 | 51% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
4.8% | -78.1% | 0.31 | 0.06 | 4.0x | 80 | 21% |
| SMA 크로스오버 fast=23, slow=174 |
4.0% | -92.1% | 0.29 | 0.04 | 3.2x | 77 | 50% |
| MACD fast=15, slow=47, signal=19 |
0.9% | -87.4% | 0.23 | 0.01 | 1.3x | 356 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-1.9% | -96.2% | 0.15 | -0.02 | 0.6x | 522 | 52% |
| Buy and hold | 9.5% | -92.8% | 0.45 | 0.10 | 14.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 38-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average