Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Qatar Fuel-Woqod QSC backtest
10 trend-following strategies were compared on the full daily history of Qatar Fuel-Woqod QSC. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 5.6%, drawdown -92.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -48.4%, Sharpe 0.36, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -91.8%, exposure 49%.
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=27, slow=216 |
4.0% | -48.4% | 0.36 | 0.08 | 1.9x | 30 | 51% |
| Donchian 채널 돌파 entryN=73, exitN=57 |
9.0% | -91.8% | 0.34 | 0.10 | 4.1x | 26 | 49% |
| EMA 크로스오버 fast=56, slow=92 |
7.7% | -91.8% | 0.34 | 0.08 | 3.4x | 26 | 52% |
| ROC 모멘텀 n=140, threshold=0.13 |
6.0% | -91.8% | 0.34 | 0.07 | 2.6x | 56 | 29% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.8% | -92.0% | 0.33 | 0.05 | 2.2x | 99 | 52% |
| MACD fast=23, slow=52, signal=27 |
4.0% | -91.8% | 0.33 | 0.04 | 1.9x | 121 | 49% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=29, mult=2.8 |
-8.4% | -99.3% | 0.23 | -0.08 | 0.2x | 36 | 33% |
| Supertrend period=25, mult=4.4 |
-9.1% | -99.3% | 0.23 | -0.09 | 0.2x | 50 | 47% |
| 볼린저 밴드 돌파 n=45, k=1.7 |
-9.3% | -99.3% | 0.23 | -0.09 | 0.2x | 72 | 33% |
| ADX / DI 방향성 period=36, threshold=38 |
0.3% | -91.5% | 0.23 | 0.00 | 1.1x | 6 | 2% |
| Buy and hold | 5.6% | -92.0% | 0.34 | 0.06 | 2.4x | 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 27-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 27-day average falls below the 216-day average