Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Qatar Gas Transport Co. backtest
10 trend-following strategies were compared on the full daily history of Qatar Gas Transport Co.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -93.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.6%, MDD -92.7%, Sharpe 0.32, 56% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=81 |
2.6% | -92.7% | 0.32 | 0.03 | 1.5x | 34 | 56% |
| SMA 크로스오버 fast=11, slow=54 |
2.0% | -92.3% | 0.32 | 0.02 | 1.4x | 96 | 53% |
| Donchian 채널 돌파 entryN=38, exitN=41 |
1.9% | -94.1% | 0.32 | 0.02 | 1.4x | 42 | 49% |
| ROC 모멘텀 n=47, threshold=-0.08 |
1.2% | -93.1% | 0.32 | 0.01 | 1.2x | 93 | 85% |
| ADX / DI 방향성 period=19, threshold=36 |
-1.6% | -92.0% | 0.21 | -0.02 | 0.8x | 26 | 3% |
| Supertrend period=10, mult=3.9 |
-11.9% | -99.2% | 0.21 | -0.12 | 0.1x | 72 | 52% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
-13.6% | -99.3% | 0.19 | -0.14 | 0.1x | 18 | 11% |
| MACD fast=23, slow=28, signal=19 |
-15.0% | -93.9% | 0.19 | -0.16 | 0.1x | 184 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=1.5 |
-15.1% | -99.3% | 0.19 | -0.15 | 0.1x | 100 | 39% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-24.7% | -99.4% | -0.28 | -0.25 | 0.0x | 294 | 51% |
| Buy and hold | 3.7% | -93.4% | 0.33 | 0.04 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 81-day EMA
- Sell — Sell when the 37-day EMA falls below the 81-day EMA