Trend-Following Backtester · Guide · backtest 한국어
equity · US
QUALCOMM Incorporated backtest
10 trend-following strategies were compared on the full daily history of QUALCOMM Incorporated. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -86.8%).
Sharpe leader (same as main): MACD — CAGR 13.9%, MDD -74.4%, Sharpe 0.55, 53% 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=52, slow=67, signal=54 |
13.9% | -74.4% | 0.55 | 0.19 | 91.5x | 144 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=3.9 |
10.8% | -56.6% | 0.55 | 0.19 | 35.4x | 70 | 22% |
| ADX / DI 방향성 period=37, threshold=15 |
11.1% | -66.5% | 0.53 | 0.17 | 38.3x | 132 | 27% |
| SMA 크로스오버 fast=37, slow=77 |
12.4% | -68.8% | 0.51 | 0.18 | 58.1x | 104 | 57% |
| Donchian 채널 돌파 entryN=116, exitN=25 |
10.5% | -59.2% | 0.51 | 0.18 | 31.4x | 80 | 31% |
| 볼린저 밴드 돌파 n=45, k=2.5 |
10.0% | -71.6% | 0.49 | 0.14 | 27.2x | 112 | 27% |
| Supertrend period=23, mult=5 |
11.0% | -72.6% | 0.48 | 0.15 | 37.1x | 106 | 53% |
| EMA 크로스오버 fast=12, slow=58 |
10.1% | -76.8% | 0.45 | 0.13 | 28.1x | 170 | 56% |
| ROC 모멘텀 n=68, threshold=0 |
10.0% | -69.4% | 0.44 | 0.14 | 26.8x | 413 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
9.4% | -77.4% | 0.44 | 0.12 | 22.4x | 284 | 54% |
| Buy and hold | 17.4% | -86.8% | 0.57 | 0.20 | 261.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (52/67) crosses above its 54-day signal line
- Sell — Sell when the MACD line crosses back below the signal line