Trend-Following Backtester · Guide · backtest 한국어
equity · US
QXO, Inc. backtest
10 trend-following strategies were compared on the full daily history of QXO, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.4%, MDD -57.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR -4.1%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -83.1%, Sharpe 0.52, 46% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 11.8%, MDD -69.5%, exposure 23%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 1.4%, MDD -57.2%, exposure 9%).
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=47, slow=58 |
7.9% | -83.1% | 0.52 | 0.09 | 2.9x | 102 | 46% |
| Donchian 채널 돌파 entryN=11, exitN=73 |
-23.0% | -98.1% | 0.48 | -0.23 | 0.0x | 50 | 82% |
| ADX / DI 방향성 period=35, threshold=20 |
11.8% | -69.5% | 0.45 | 0.17 | 4.9x | 26 | 23% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-8.7% | -96.4% | 0.43 | -0.09 | 0.3x | 186 | 41% |
| Supertrend period=22, mult=4.8 |
-20.8% | -99.6% | 0.41 | -0.21 | 0.0x | 56 | 52% |
| EMA 크로스오버 fast=25, slow=141 |
-13.6% | -93.7% | 0.29 | -0.14 | 0.1x | 46 | 42% |
| MACD fast=24, slow=36, signal=26 |
-23.6% | -99.5% | 0.25 | -0.24 | 0.0x | 124 | 49% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=10, mult=3.7 |
1.4% | -57.2% | 0.20 | 0.02 | 1.2x | 16 | 9% |
| 볼린저 밴드 돌파 n=52, k=2.2 |
-9.3% | -96.1% | 0.17 | -0.10 | 0.2x | 58 | 22% |
| ROC 모멘텀 n=141, threshold=-0.03 |
-29.8% | -99.8% | 0.07 | -0.30 | 0.0x | 180 | 51% |
| Buy and hold | -4.1% | -95.4% | 0.69 | -0.04 | 0.6x | 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 47-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 47-day average falls below the 58-day average