Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
QNT backtest
10 trend-following strategies were compared on the full daily history of QNT. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 45.0%, MDD -36.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.1%, drawdown -85.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 62.8%, MDD -37.1%, Sharpe 1.01, 23% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 62.9%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 45.0%, MDD -36.0%, exposure 7%).
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=22, atrPeriod=8, mult=1.1 |
62.8% | -37.1% | 1.01 | 1.69 | 11.1x | 51 | 23% |
| 볼린저 밴드 돌파 n=16, k=2.3 |
51.3% | -44.4% | 0.90 | 1.16 | 7.7x | 47 | 17% |
| Donchian 채널 돌파 entryN=88, exitN=6 |
45.0% | -36.0% | 0.87 | 1.25 | 6.3x | 13 | 7% |
| Supertrend period=13, mult=2.1 |
49.8% | -62.3% | 0.86 | 0.80 | 7.4x | 53 | 38% |
| ROC 모멘텀 n=24, threshold=0.24 |
44.4% | -45.2% | 0.86 | 0.98 | 6.1x | 53 | 10% |
| SMA 크로스오버 fast=10, slow=39 |
40.2% | -65.4% | 0.77 | 0.62 | 5.3x | 51 | 33% |
| MACD fast=9, slow=71, signal=11 |
36.8% | -66.7% | 0.74 | 0.55 | 4.7x | 109 | 47% |
| ADX / DI 방향성 period=36, threshold=11 |
35.6% | -70.1% | 0.73 | 0.51 | 4.5x | 45 | 27% |
| EMA 크로스오버 fast=13, slow=31 |
30.2% | -65.6% | 0.67 | 0.46 | 3.7x | 37 | 33% |
| Parabolic SAR step=0.03, maxStep=0.12 |
14.7% | -82.5% | 0.50 | 0.18 | 2.0x | 171 | 43% |
| Buy and hold | -0.1% | -85.9% | 0.44 | -0.00 | 1.0x | 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 22-day average + 1.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average