Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Qatar National Bank QPSC backtest
10 trend-following strategies were compared on the full daily history of Qatar National Bank QPSC. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -30.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -50.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -12.6%, Sharpe 0.39, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.8%, MDD -30.8%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 37.4%p (CAGR 4.8%, MDD -30.8%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=28 |
1.9% | -12.6% | 0.39 | 0.15 | 1.4x | 10 | 7% |
| SMA 크로스오버 fast=51, slow=141 |
4.8% | -30.8% | 0.37 | 0.16 | 2.2x | 30 | 55% |
| Donchian 채널 돌파 entryN=86, exitN=17 |
3.2% | -25.5% | 0.34 | 0.13 | 1.7x | 44 | 31% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
0.7% | -5.7% | 0.29 | 0.13 | 1.1x | 8 | 2% |
| EMA 크로스오버 fast=45, slow=90 |
2.3% | -39.0% | 0.22 | 0.06 | 1.5x | 40 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=3.3 |
1.3% | -31.2% | 0.17 | 0.04 | 1.2x | 52 | 25% |
| Supertrend period=15, mult=2.5 |
0.1% | -47.8% | 0.09 | 0.00 | 1.0x | 146 | 57% |
| ROC 모멘텀 n=115, threshold=0.02 |
-0.5% | -44.8% | 0.04 | -0.01 | 0.9x | 144 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.3% | -67.3% | -0.14 | -0.05 | 0.6x | 186 | 53% |
| MACD fast=18, slow=23, signal=15 |
-6.7% | -74.0% | -0.39 | -0.09 | 0.3x | 230 | 51% |
| Buy and hold | 6.1% | -50.0% | 0.37 | 0.12 | 2.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)