Trend-Following Backtester · Guide · backtest 한국어
equity · AU
QBE Insurance Group Limited backtest
10 trend-following strategies were compared on the full daily history of QBE Insurance Group Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.5%, MDD -63.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -79.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -63.1%, Sharpe 0.48, 93% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 9.5%, MDD -63.1%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=4, exitN=70 |
9.5% | -63.1% | 0.48 | 0.15 | 32.6x | 133 | 93% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
3.3% | -31.9% | 0.40 | 0.10 | 3.6x | 76 | 19% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=4 |
3.1% | -31.9% | 0.38 | 0.10 | 3.3x | 60 | 17% |
| ADX / DI 방향성 period=29, threshold=32 |
2.9% | -27.2% | 0.35 | 0.11 | 3.1x | 46 | 18% |
| EMA 크로스오버 fast=41, slow=163 |
4.0% | -81.4% | 0.29 | 0.05 | 4.5x | 63 | 64% |
| Supertrend period=16, mult=4.2 |
3.9% | -73.7% | 0.29 | 0.05 | 4.3x | 176 | 59% |
| SMA 크로스오버 fast=56, slow=170 |
3.9% | -74.7% | 0.29 | 0.05 | 4.3x | 67 | 65% |
| ROC 모멘텀 n=96, threshold=-0.02 |
2.7% | -78.3% | 0.23 | 0.03 | 2.8x | 322 | 68% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.7% | -80.3% | 0.06 | -0.01 | 0.8x | 254 | 58% |
| MACD fast=24, slow=36, signal=18 |
-3.2% | -79.2% | -0.09 | -0.04 | 0.3x | 420 | 49% |
| Buy and hold | 8.8% | -79.2% | 0.43 | 0.11 | 25.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 4 days
- Sell — Sell when price breaks below the lowest low of the last 70 days