Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Commercial Bank (Q.S.C.) backtest
10 trend-following strategies were compared on the full daily history of Commercial Bank (Q.S.C.). 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR -0.6%, drawdown -96.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.3%, MDD -94.2%, Sharpe 0.32, 40% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=105 |
1.3% | -94.2% | 0.32 | 0.01 | 1.2x | 14 | 40% |
| EMA 크로스오버 fast=73, slow=157 |
0.2% | -94.1% | 0.32 | 0.00 | 1.0x | 20 | 40% |
| SMA 크로스오버 fast=26, slow=172 |
0.3% | -93.3% | 0.32 | 0.00 | 1.0x | 32 | 44% |
| ROC 모멘텀 n=119, threshold=0.14 |
0.4% | -92.9% | 0.32 | 0.00 | 1.1x | 82 | 17% |
| ADX / DI 방향성 period=51, threshold=22 |
0.1% | -90.8% | 0.22 | 0.00 | 1.0x | 4 | 0% |
| Supertrend period=13, mult=4.9 |
-14.1% | -99.6% | 0.20 | -0.14 | 0.1x | 58 | 53% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
-15.3% | -99.6% | 0.19 | -0.15 | 0.1x | 126 | 39% |
| MACD fast=16, slow=31, signal=18 |
-15.7% | -96.4% | 0.19 | -0.16 | 0.1x | 202 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=19, mult=4 |
-15.1% | -99.5% | 0.19 | -0.15 | 0.1x | 36 | 14% |
| Parabolic SAR step=0.01, maxStep=0.04 |
-16.0% | -99.7% | 0.19 | -0.16 | 0.1x | 158 | 49% |
| Buy and hold | -0.6% | -96.3% | 0.32 | -0.01 | 0.9x | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 105 days