Trend-Following Backtester · Guide · backtest 한국어
equity · US
IonQ, Inc. backtest
10 trend-following strategies were compared on the full daily history of IonQ, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 58.5%, MDD -50.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 24.3%, drawdown -90.0%).
Sharpe leader (same as main): Supertrend — CAGR 70.5%, MDD -72.6%, Sharpe 1.09, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 46.2%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 58.5%, MDD -50.0%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=3.4 |
70.5% | -72.6% | 1.09 | 0.97 | 19.5x | 28 | 43% |
| Donchian 채널 돌파 entryN=29, exitN=9 |
58.5% | -50.0% | 1.02 | 1.17 | 13.0x | 28 | 28% |
| ADX / DI 방향성 period=14, threshold=19 |
58.9% | -50.2% | 1.00 | 1.17 | 13.2x | 62 | 37% |
| SMA 크로스오버 fast=9, slow=57 |
58.6% | -59.8% | 0.98 | 0.98 | 13.0x | 36 | 42% |
| 볼린저 밴드 돌파 n=34, k=1.3 |
49.9% | -57.9% | 0.93 | 0.86 | 9.5x | 42 | 32% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=11, mult=1.8 |
42.6% | -55.3% | 0.87 | 0.77 | 7.2x | 34 | 23% |
| MACD fast=15, slow=40, signal=9 |
44.4% | -57.4% | 0.86 | 0.77 | 7.7x | 78 | 51% |
| EMA 크로스오버 fast=9, slow=61 |
43.6% | -68.8% | 0.85 | 0.63 | 7.5x | 28 | 41% |
| ROC 모멘텀 n=37, threshold=0.04 |
42.7% | -68.2% | 0.84 | 0.63 | 7.3x | 80 | 41% |
| Parabolic SAR step=0.01, maxStep=0.26 |
23.3% | -65.7% | 0.64 | 0.35 | 3.2x | 74 | 42% |
| Buy and hold | 24.3% | -90.0% | 0.70 | 0.27 | 3.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)