Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Doha Bank backtest
10 trend-following strategies were compared on the full daily history of Doha Bank. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -12.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -79.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.6%, MDD -42.5%, Sharpe 0.24, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 0.2%, MDD -12.5%, exposure 2%).
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=55, exitN=37 |
2.6% | -42.5% | 0.24 | 0.06 | 1.5x | 34 | 41% |
| EMA 크로스오버 fast=7, slow=78 |
2.3% | -56.3% | 0.22 | 0.04 | 1.4x | 63 | 44% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=4 |
1.4% | -21.9% | 0.19 | 0.06 | 1.3x | 32 | 14% |
| 볼린저 밴드 돌파 n=31, k=2.4 |
1.3% | -32.5% | 0.16 | 0.04 | 1.2x | 68 | 24% |
| ADX / DI 방향성 period=40, threshold=31 |
0.2% | -12.5% | 0.09 | 0.02 | 1.0x | 4 | 2% |
| Supertrend period=10, mult=3.2 |
-0.1% | -59.7% | 0.08 | -0.00 | 1.0x | 101 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.8% | -66.3% | 0.04 | -0.01 | 0.9x | 113 | 50% |
| ROC 모멘텀 n=135, threshold=0.02 |
-0.6% | -56.1% | 0.04 | -0.01 | 0.9x | 108 | 38% |
| SMA 크로스오버 fast=27, slow=159 |
-1.2% | -62.1% | 0.01 | -0.02 | 0.8x | 29 | 41% |
| MACD fast=13, slow=27, signal=19 |
-1.3% | -65.8% | 0.00 | -0.02 | 0.8x | 202 | 51% |
| Buy and hold | -3.0% | -79.1% | -0.00 | -0.04 | 0.6x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 37 days