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 32.3%, MDD -24.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 23.7%, drawdown -89.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 37.6%, MDD -41.0%, Sharpe 1.15, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 32.3%, MDD -24.8%, 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 |
37.6% | -41.0% | 1.15 | 0.92 | 27.1x | 23 | 56% |
| SMA 크로스오버 fast=26, slow=155 |
37.2% | -41.4% | 1.11 | 0.90 | 26.3x | 13 | 58% |
| ADX / DI 방향성 period=33, threshold=17 |
32.3% | -24.8% | 1.11 | 1.30 | 18.0x | 41 | 41% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=24, mult=0.8 |
37.2% | -34.2% | 1.11 | 1.09 | 26.1x | 63 | 56% |
| EMA 크로스오버 fast=19, slow=123 |
34.4% | -43.7% | 1.04 | 0.79 | 21.3x | 15 | 60% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
31.2% | -37.5% | 1.02 | 0.83 | 16.5x | 47 | 53% |
| Supertrend period=8, mult=4.5 |
34.0% | -49.5% | 1.02 | 0.69 | 20.5x | 29 | 64% |
| Donchian 채널 돌파 entryN=38, exitN=55 |
34.7% | -56.6% | 0.99 | 0.61 | 21.7x | 19 | 66% |
| Parabolic SAR step=0.015, maxStep=0.32 |
23.6% | -70.5% | 0.78 | 0.33 | 8.9x | 157 | 50% |
| MACD fast=19, slow=31, signal=7 |
15.0% | -54.2% | 0.58 | 0.28 | 4.3x | 143 | 51% |
| Buy and hold | 23.7% | -89.7% | 0.69 | 0.26 | 9.0x | 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