SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

equity · QA

Qatar International Islamic Bank backtest

10 trend-following strategies were compared on the full daily history of Qatar International Islamic Bank. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 2010-02-22 ~ 2026-08-31daily bars 4,138 (16.5 years)Costs 0.5%Venue QSEMonthly snapshot 2026-08-31

Results by strategy

1 of 10 beat buy and hold (CAGR 5.0%, drawdown -91.6%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.2%, MDD -91.0%, Sharpe 0.33, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=1, threshold=-0.07
5.2%-91.0%0.330.062.3x25100%
SMA 크로스오버
fast=41, slow=169
2.4%-91.6%0.320.031.5x2855%
Donchian 채널 돌파
entryN=99, exitN=28
2.3%-91.0%0.320.031.5x3434%
MACD
fast=22, slow=65, signal=23
2.0%-91.0%0.320.021.4x13452%
EMA 크로스오버
fast=42, slow=57
1.3%-90.2%0.320.011.2x4855%
Parabolic SAR
step=0.04, maxStep=0.04
0.6%-90.3%0.320.011.1x19054%
ADX / DI 방향성
period=28, threshold=29
2.4%-90.3%0.230.031.5x167%
Supertrend
period=20, mult=3.8
-10.9%-99.1%0.21-0.110.1x6656%
볼린저 밴드 돌파
n=32, k=1.7
-10.9%-99.1%0.21-0.110.1x10636%
Keltner 채널 돌파
emaPeriod=41, atrPeriod=16, mult=2
-12.1%-99.1%0.20-0.120.1x8035%
Buy and hold5.0%-91.6%0.330.052.2x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -69% -92% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -91.0% (2011-01-10 → 2011-03-03), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupMore QA assetsAll asset reports

Read next