Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Ooredoo Q.P.S.C backtest
10 trend-following strategies were compared on the full daily history of Ooredoo Q.P.S.C. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 1.4%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -92.2%, Sharpe 0.45, 52% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=84 |
8.8% | -92.2% | 0.45 | 0.10 | 4.0x | 61 | 52% |
| EMA 크로스오버 fast=56, slow=190 |
-1.3% | -94.8% | 0.44 | -0.01 | 0.8x | 25 | 53% |
| Donchian 채널 돌파 entryN=73, exitN=108 |
0.0% | -93.6% | 0.39 | 0.00 | 1.0x | 23 | 65% |
| ROC 모멘텀 Hold-like · Exposure 98% n=9, threshold=-0.12 |
-13.4% | -99.7% | 0.38 | -0.13 | 0.1x | 39 | 98% |
| MACD fast=21, slow=24, signal=14 |
-17.4% | -96.1% | 0.36 | -0.18 | 0.0x | 222 | 51% |
| Supertrend period=18, mult=4.9 |
-28.1% | -100.0% | 0.27 | -0.28 | 0.0x | 64 | 56% |
| ADX / DI 방향성 period=39, threshold=24 |
-2.7% | -93.5% | 0.21 | -0.03 | 0.6x | 16 | 2% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-39.0% | -100.0% | 0.12 | -0.39 | 0.0x | 404 | 49% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=3.8 |
-35.1% | -99.9% | -0.43 | -0.35 | 0.0x | 12 | 1% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
-44.4% | -100.0% | -0.48 | -0.44 | 0.0x | 80 | 33% |
| Buy and hold | 1.4% | -95.6% | 0.45 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 39-day average falls below the 84-day average