Trend-Following Backtester · Guide · backtest 한국어
equity · US
D-Wave Quantum Inc. backtest
10 trend-following strategies were compared on the full daily history of D-Wave Quantum Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 34.9%, MDD -49.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.6%, drawdown -96.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 65.5%, MDD -62.5%, Sharpe 0.98, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 55.9%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 34.9%, MDD -49.1%, exposure 20%).
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=47, exitN=32 |
65.5% | -62.5% | 0.98 | 1.05 | 17.8x | 14 | 41% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
54.2% | -53.2% | 0.97 | 1.02 | 11.9x | 22 | 12% |
| SMA 크로스오버 fast=51, slow=67 |
61.5% | -66.9% | 0.95 | 0.92 | 15.5x | 30 | 45% |
| ROC 모멘텀 n=64, threshold=0.01 |
55.6% | -67.7% | 0.91 | 0.82 | 12.6x | 66 | 36% |
| MACD fast=11, slow=20, signal=8 |
60.5% | -80.3% | 0.90 | 0.75 | 14.9x | 114 | 54% |
| Supertrend period=21, mult=3.8 |
52.5% | -67.2% | 0.90 | 0.78 | 11.2x | 18 | 42% |
| EMA 크로스오버 fast=8, slow=85 |
53.5% | -62.5% | 0.90 | 0.86 | 11.6x | 20 | 43% |
| Parabolic SAR step=0.015, maxStep=0.36 |
51.0% | -72.6% | 0.84 | 0.70 | 10.6x | 98 | 42% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=15, mult=3.1 |
41.3% | -57.0% | 0.83 | 0.73 | 7.2x | 16 | 13% |
| ADX / DI 방향성 period=14, threshold=26 |
34.9% | -49.1% | 0.75 | 0.71 | 5.5x | 32 | 20% |
| Buy and hold | 9.6% | -96.7% | 0.64 | 0.10 | 1.7x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 32 days