Trend-Following Backtester · Guide · backtest 한국어
equity · US
QuantumScape Corporation backtest
10 trend-following strategies were compared on the full daily history of QuantumScape Corporation. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 32.4%, MDD -56.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.1%, drawdown -97.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.4%, MDD -56.7%, Sharpe 0.81, 4% exposure.
CAGR reference leader: Supertrend — CAGR 32.6%, MDD -62.4%, exposure 26%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 41.5%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 32.4%, MDD -56.7%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=22, mult=3.6 |
32.4% | -56.7% | 0.81 | 0.57 | 5.4x | 8 | 4% |
| Supertrend period=20, mult=3.5 |
32.6% | -62.4% | 0.72 | 0.52 | 5.5x | 28 | 26% |
| SMA 크로스오버 fast=17, slow=25 |
20.8% | -83.4% | 0.61 | 0.25 | 3.1x | 59 | 39% |
| Donchian 채널 돌파 entryN=14, exitN=10 |
17.4% | -81.7% | 0.57 | 0.21 | 2.6x | 41 | 37% |
| 볼린저 밴드 돌파 n=36, k=1.8 |
15.6% | -87.5% | 0.54 | 0.18 | 2.4x | 32 | 22% |
| MACD fast=14, slow=52, signal=8 |
11.6% | -94.3% | 0.52 | 0.12 | 1.9x | 81 | 51% |
| ADX / DI 방향성 period=29, threshold=20 |
13.9% | -86.8% | 0.51 | 0.16 | 2.2x | 18 | 19% |
| EMA 크로스오버 fast=33, slow=45 |
9.2% | -91.4% | 0.47 | 0.10 | 1.7x | 22 | 30% |
| ROC 모멘텀 n=55, threshold=0.13 |
4.0% | -93.3% | 0.39 | 0.04 | 1.3x | 66 | 26% |
| Parabolic SAR step=0.04, maxStep=0.28 |
-3.1% | -96.1% | 0.32 | -0.03 | 0.8x | 197 | 45% |
| Buy and hold | -9.1% | -97.4% | 0.39 | -0.09 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 9-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average