Trend-Following Backtester · Guide · backtest 한국어
equity · GB
IQE plc backtest
10 trend-following strategies were compared on the full daily history of IQE plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -58.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.0%, drawdown -99.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.1%, MDD -60.8%, Sharpe 0.61, 23% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 19.9%, MDD -76.1%, exposure 31%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 26.2%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 13.9%, MDD -58.7%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=79, k=3 |
18.1% | -60.8% | 0.61 | 0.30 | 79.8x | 32 | 23% |
| ROC 모멘텀 n=58, threshold=0.14 |
19.9% | -76.1% | 0.61 | 0.26 | 117.8x | 246 | 31% |
| ADX / DI 방향성 period=36, threshold=22 |
15.8% | -59.0% | 0.58 | 0.27 | 47.0x | 50 | 19% |
| EMA 크로스오버 fast=46, slow=63 |
16.8% | -85.8% | 0.56 | 0.20 | 58.6x | 51 | 46% |
| SMA 크로스오버 fast=21, slow=139 |
16.5% | -86.9% | 0.55 | 0.19 | 55.0x | 53 | 45% |
| Donchian 채널 돌파 entryN=112, exitN=23 |
13.9% | -58.7% | 0.54 | 0.24 | 30.5x | 40 | 23% |
| Supertrend period=16, mult=4.6 |
10.9% | -92.1% | 0.45 | 0.12 | 15.1x | 67 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=28, mult=1.4 |
10.2% | -83.0% | 0.43 | 0.12 | 12.9x | 132 | 35% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.2% | -88.1% | 0.31 | 0.04 | 2.3x | 192 | 45% |
| MACD fast=11, slow=73, signal=18 |
-2.4% | -96.6% | 0.26 | -0.02 | 0.5x | 289 | 52% |
| Buy and hold | -8.0% | -99.7% | 0.27 | -0.08 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 79-day average (3× volatility)
- Sell — Sell when the close falls back to the 79-day middle average