Trend-Following Backtester · Guide · backtest 한국어
equity · US
QTREX Quantum Ltd. backtest
10 trend-following strategies were compared on the full daily history of QTREX Quantum Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.8%, MDD -59.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.9%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.8%, MDD -59.4%, Sharpe 0.56, 34% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 49.7%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 20.8%, MDD -59.4%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=41 |
20.8% | -59.4% | 0.56 | 0.35 | 2.6x | 32 | 34% |
| ADX / DI 방향성 period=13, threshold=24 |
9.2% | -71.7% | 0.46 | 0.13 | 1.6x | 36 | 30% |
| Supertrend period=19, mult=4.2 |
10.3% | -83.8% | 0.45 | 0.12 | 1.7x | 12 | 30% |
| MACD fast=8, slow=41, signal=14 |
-17.8% | -93.8% | 0.33 | -0.19 | 0.4x | 94 | 44% |
| 볼린저 밴드 돌파 n=54, k=2.3 |
-2.5% | -78.1% | 0.32 | -0.03 | 0.9x | 12 | 19% |
| ROC 모멘텀 n=31, threshold=0.1 |
-9.3% | -87.6% | 0.27 | -0.11 | 0.6x | 56 | 24% |
| Donchian 채널 돌파 entryN=56, exitN=7 |
-3.9% | -73.0% | 0.27 | -0.05 | 0.8x | 8 | 7% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=25, mult=2.5 |
-5.9% | -77.7% | 0.27 | -0.08 | 0.7x | 12 | 15% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-16.5% | -95.0% | 0.25 | -0.17 | 0.4x | 78 | 36% |
| EMA 크로스오버 fast=4, slow=180 |
-17.0% | -72.4% | -0.06 | -0.23 | 0.4x | 16 | 19% |
| Buy and hold | -28.9% | -96.8% | 0.40 | -0.30 | 0.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 41-day average
- Sell — Sell (to cash) when the 30-day average falls below the 41-day average