Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Qt Group Plc backtest
10 trend-following strategies were compared on the full daily history of Qt Group Plc. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 32.0%, MDD -24.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.6%, drawdown -89.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 36.7%, MDD -41.0%, Sharpe 1.13, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 32.0%, MDD -24.2%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=114, threshold=0.05 |
36.7% | -41.0% | 1.13 | 0.90 | 24.6x | 22 | 55% |
| ADX / DI 방향성 period=33, threshold=17 |
32.0% | -24.2% | 1.10 | 1.32 | 17.2x | 40 | 41% |
| SMA 크로스오버 fast=26, slow=155 |
36.3% | -41.4% | 1.09 | 0.88 | 23.9x | 12 | 58% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=24, mult=0.8 |
32.8% | -34.2% | 1.03 | 0.96 | 18.2x | 63 | 56% |
| EMA 크로스오버 fast=19, slow=123 |
33.7% | -43.7% | 1.02 | 0.77 | 19.6x | 14 | 60% |
| Supertrend period=8, mult=4.5 |
33.0% | -49.5% | 1.00 | 0.67 | 18.6x | 28 | 64% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
30.2% | -37.5% | 0.99 | 0.81 | 15.0x | 46 | 53% |
| Donchian 채널 돌파 entryN=38, exitN=55 |
30.3% | -56.6% | 0.92 | 0.54 | 15.1x | 19 | 66% |
| Parabolic SAR step=0.015, maxStep=0.32 |
19.5% | -70.5% | 0.69 | 0.28 | 6.2x | 157 | 50% |
| MACD fast=19, slow=31, signal=7 |
11.2% | -54.2% | 0.48 | 0.21 | 3.0x | 143 | 50% |
| Buy and hold | 19.6% | -89.7% | 0.62 | 0.22 | 6.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 114-day return is greater than 5%
- Sell — Sell when the 114-day return drops to 5% or below