Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quantum-Si Incorporated backtest
10 trend-following strategies were compared on the full daily history of Quantum-Si Incorporated. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -9.2%, MDD -62.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -35.7%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.8%, MDD -72.4%, Sharpe 0.41, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 41.6%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR -9.2%, MDD -62.3%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=13, threshold=26 |
5.8% | -72.4% | 0.41 | 0.08 | 1.4x | 32 | 18% |
| Supertrend period=16, mult=3.4 |
-10.2% | -86.8% | 0.25 | -0.12 | 0.5x | 28 | 29% |
| Donchian 채널 돌파 entryN=97, exitN=12 |
-1.1% | -68.2% | 0.25 | -0.02 | 0.9x | 6 | 5% |
| MACD fast=7, slow=24, signal=11 |
-16.1% | -89.8% | 0.23 | -0.18 | 0.4x | 125 | 51% |
| SMA 크로스오버 fast=17, slow=42 |
-15.2% | -87.0% | 0.21 | -0.17 | 0.4x | 34 | 34% |
| 볼린저 밴드 돌파 n=34, k=3.2 |
-7.1% | -68.6% | 0.20 | -0.10 | 0.7x | 12 | 11% |
| EMA 크로스오버 fast=11, slow=61 |
-16.1% | -84.5% | 0.18 | -0.19 | 0.4x | 28 | 25% |
| ROC 모멘텀 n=129, threshold=0.03 |
-11.1% | -78.4% | 0.15 | -0.14 | 0.5x | 40 | 21% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=29, mult=4 |
-9.2% | -62.3% | 0.14 | -0.15 | 0.6x | 8 | 6% |
| Parabolic SAR step=0.035, maxStep=0.2 |
-41.2% | -98.1% | -0.18 | -0.42 | 0.0x | 177 | 43% |
| Buy and hold | -35.7% | -97.2% | 0.19 | -0.37 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 13-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)