Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Qatar Navigation QSC backtest
10 trend-following strategies were compared on the full daily history of Qatar Navigation QSC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.0%, drawdown -95.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.6%, MDD -92.4%, Sharpe 0.32, 50% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=62, exitN=53 |
1.6% | -92.4% | 0.32 | 0.02 | 1.3x | 24 | 50% |
| EMA 크로스오버 fast=43, slow=122 |
1.1% | -93.2% | 0.32 | 0.01 | 1.2x | 26 | 52% |
| SMA 크로스오버 fast=22, slow=132 |
1.2% | -93.5% | 0.32 | 0.01 | 1.2x | 48 | 49% |
| ROC 모멘텀 n=141, threshold=0.07 |
-1.6% | -94.0% | 0.31 | -0.02 | 0.8x | 136 | 32% |
| MACD fast=20, slow=45, signal=27 |
-5.5% | -96.9% | 0.30 | -0.06 | 0.4x | 163 | 48% |
| ADX / DI 방향성 period=27, threshold=34 |
-0.0% | -89.6% | 0.22 | -0.00 | 1.0x | 12 | 1% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-12.0% | -99.2% | 0.20 | -0.12 | 0.1x | 20 | 7% |
| Supertrend period=20, mult=3.3 |
-14.1% | -99.3% | 0.19 | -0.14 | 0.1x | 89 | 47% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-14.4% | -99.4% | 0.19 | -0.14 | 0.1x | 119 | 49% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=17, mult=3.6 |
-14.3% | -99.3% | 0.19 | -0.14 | 0.1x | 38 | 22% |
| Buy and hold | 3.0% | -95.7% | 0.33 | 0.03 | 1.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 62 days
- Sell — Sell when price breaks below the lowest low of the last 53 days