Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arqit Quantum Inc. backtest
10 trend-following strategies were compared on the full daily history of Arqit Quantum Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.5%, MDD -55.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -39.1%, drawdown -99.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.5%, MDD -55.3%, Sharpe 0.66, 11% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 63.6%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 24.5%, MDD -55.3%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.5 |
24.5% | -55.3% | 0.66 | 0.44 | 3.2x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=28, mult=2.5 |
21.6% | -73.8% | 0.61 | 0.29 | 2.8x | 18 | 15% |
| ADX / DI 방향성 period=6, threshold=26 |
10.3% | -93.7% | 0.57 | 0.11 | 1.7x | 128 | 39% |
| Supertrend period=28, mult=3.7 |
12.3% | -84.6% | 0.53 | 0.14 | 1.9x | 24 | 37% |
| ROC 모멘텀 n=81, threshold=0.1 |
3.3% | -81.8% | 0.44 | 0.04 | 1.2x | 29 | 29% |
| MACD fast=15, slow=39, signal=6 |
-9.5% | -96.6% | 0.40 | -0.10 | 0.6x | 88 | 53% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-3.7% | -89.5% | 0.38 | -0.04 | 0.8x | 110 | 38% |
| SMA 크로스오버 fast=48, slow=209 |
2.0% | -74.3% | 0.35 | 0.03 | 1.1x | 4 | 22% |
| Donchian 채널 돌파 entryN=91, exitN=77 |
-7.7% | -89.4% | 0.33 | -0.09 | 0.7x | 7 | 33% |
| EMA 크로스오버 fast=12, slow=79 |
-7.1% | -84.8% | 0.31 | -0.08 | 0.7x | 18 | 28% |
| Buy and hold | -39.1% | -99.6% | 0.25 | -0.39 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average