Trend-Following Backtester · Guide · backtest 한국어
equity · GB
QinetiQ Group plc backtest
10 trend-following strategies were compared on the full daily history of QinetiQ Group plc. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.3%, drawdown -57.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.8%, MDD -57.6%, Sharpe 0.31, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.15 |
4.8% | -57.6% | 0.31 | 0.08 | 2.6x | 3 | 100% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=2.8 |
1.2% | -22.4% | 0.15 | 0.05 | 1.3x | 50 | 23% |
| Donchian 채널 돌파 entryN=15, exitN=42 |
0.9% | -52.8% | 0.15 | 0.02 | 1.2x | 71 | 71% |
| SMA 크로스오버 fast=30, slow=158 |
1.1% | -46.4% | 0.15 | 0.02 | 1.3x | 38 | 52% |
| ADX / DI 방향성 period=36, threshold=14 |
-0.4% | -42.8% | 0.05 | -0.01 | 0.9x | 104 | 32% |
| EMA 크로스오버 fast=11, slow=106 |
-1.0% | -58.7% | 0.05 | -0.02 | 0.8x | 85 | 53% |
| Supertrend period=12, mult=3.6 |
-2.0% | -50.0% | 0.00 | -0.04 | 0.7x | 95 | 57% |
| 볼린저 밴드 돌파 n=39, k=1.8 |
-1.3% | -45.6% | -0.01 | -0.03 | 0.8x | 119 | 34% |
| MACD fast=17, slow=47, signal=19 |
-5.3% | -82.0% | -0.18 | -0.06 | 0.3x | 237 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-6.9% | -84.0% | -0.25 | -0.08 | 0.2x | 299 | 50% |
| Buy and hold | 4.3% | -57.6% | 0.29 | 0.07 | 2.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -15%
- Sell — Sell when the 3-day return drops to -15% or below