Trend-Following Backtester · Guide · backtest 한국어
equity · US
Qiagen N.V. backtest
10 trend-following strategies were compared on the full daily history of Qiagen N.V.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.5%, MDD -68.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -92.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -81.6%, Sharpe 0.44, 84% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 10.5%p (CAGR 8.5%, MDD -68.6%, exposure 79%).
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=13, exitN=79 |
9.6% | -81.6% | 0.44 | 0.12 | 15.9x | 81 | 84% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
5.5% | -47.2% | 0.42 | 0.12 | 5.0x | 24 | 7% |
| SMA 크로스오버 fast=36, slow=185 |
8.1% | -68.1% | 0.42 | 0.12 | 10.4x | 58 | 60% |
| ROC 모멘텀 n=115, threshold=-0.1 |
8.5% | -68.6% | 0.42 | 0.12 | 11.6x | 172 | 79% |
| EMA 크로스오버 fast=42, slow=183 |
6.6% | -59.7% | 0.37 | 0.11 | 6.8x | 44 | 63% |
| ADX / DI 방향성 period=20, threshold=34 |
3.6% | -57.0% | 0.32 | 0.06 | 2.9x | 24 | 5% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.3% | -73.8% | 0.26 | 0.05 | 2.7x | 249 | 53% |
| Supertrend period=9, mult=5 |
3.2% | -83.9% | 0.25 | 0.04 | 2.5x | 113 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=9, mult=4 |
1.5% | -74.2% | 0.17 | 0.02 | 1.6x | 54 | 11% |
| MACD fast=10, slow=39, signal=18 |
-2.2% | -72.4% | 0.05 | -0.03 | 0.5x | 429 | 51% |
| Buy and hold | 10.5% | -92.1% | 0.45 | 0.11 | 20.3x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 79 days