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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -93.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -93.8%, Sharpe 0.33, 53% 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=11, slow=65 |
2.8% | -93.8% | 0.33 | 0.03 | 1.6x | 78 | 53% |
| EMA 크로스오버 fast=24, slow=128 |
2.5% | -92.4% | 0.33 | 0.03 | 1.5x | 32 | 56% |
| Donchian 채널 돌파 entryN=32, exitN=41 |
2.0% | -94.0% | 0.32 | 0.02 | 1.4x | 46 | 54% |
| ROC 모멘텀 n=62, threshold=-0.1 |
1.2% | -93.9% | 0.32 | 0.01 | 1.2x | 85 | 87% |
| ADX / DI 방향성 period=28, threshold=29 |
-1.9% | -92.4% | 0.21 | -0.02 | 0.7x | 14 | 2% |
| Supertrend period=15, mult=4.1 |
-12.8% | -99.2% | 0.20 | -0.13 | 0.1x | 70 | 53% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
-13.7% | -99.3% | 0.20 | -0.14 | 0.1x | 18 | 11% |
| MACD fast=19, slow=34, signal=19 |
-15.0% | -93.9% | 0.19 | -0.16 | 0.1x | 176 | 49% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=1.1 |
-15.8% | -99.4% | 0.19 | -0.16 | 0.1x | 126 | 44% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-25.0% | -99.4% | -0.28 | -0.25 | 0.0x | 292 | 52% |
| Buy and hold | 3.9% | -93.4% | 0.33 | 0.04 | 1.9x | 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 11-day average price crosses above the 65-day average
- Sell — Sell (to cash) when the 11-day average falls below the 65-day average