Trend-Following Backtester · Guide · backtest 한국어
equity · US
QuinStreet, Inc. backtest
10 trend-following strategies were compared on the full daily history of QuinStreet, Inc.. 7 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 5.3%, MDD -26.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.5%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -67.5%, Sharpe 0.48, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 5.3%, MDD -26.2%, exposure 10%).
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=87, exitN=73 |
11.3% | -67.5% | 0.48 | 0.17 | 5.9x | 21 | 43% |
| SMA 크로스오버 fast=55, slow=115 |
9.6% | -71.9% | 0.43 | 0.13 | 4.6x | 31 | 48% |
| ADX / DI 방향성 period=28, threshold=28 |
5.3% | -26.2% | 0.42 | 0.20 | 2.3x | 16 | 10% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=3.5 |
6.5% | -41.2% | 0.40 | 0.16 | 2.8x | 31 | 19% |
| EMA 크로스오버 fast=16, slow=170 |
6.9% | -65.1% | 0.36 | 0.11 | 3.0x | 35 | 43% |
| ROC 모멘텀 n=98, threshold=-0.02 |
6.8% | -68.7% | 0.36 | 0.10 | 3.0x | 133 | 49% |
| Supertrend period=21, mult=4.3 |
4.8% | -71.3% | 0.31 | 0.07 | 2.2x | 51 | 50% |
| MACD fast=18, slow=53, signal=20 |
-0.6% | -73.6% | 0.16 | -0.01 | 0.9x | 163 | 55% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
0.7% | -26.7% | 0.12 | 0.03 | 1.1x | 30 | 7% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-2.7% | -85.6% | 0.09 | -0.03 | 0.6x | 231 | 51% |
| Buy and hold | 1.5% | -89.1% | 0.29 | 0.02 | 1.3x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 73 days