Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Industries of Qatar Co. backtest
10 trend-following strategies were compared on the full daily history of Industries of Qatar Co.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR 0.3%, drawdown -95.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.8%, MDD -90.8%, Sharpe 0.33, 49% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=56 |
4.8% | -90.8% | 0.33 | 0.05 | 2.2x | 46 | 49% |
| SMA 크로스오버 fast=24, slow=115 |
4.5% | -90.7% | 0.33 | 0.05 | 2.0x | 40 | 49% |
| Donchian 채널 돌파 entryN=105, exitN=80 |
3.6% | -93.0% | 0.33 | 0.04 | 1.8x | 18 | 49% |
| ROC 모멘텀 n=124, threshold=0.06 |
1.7% | -91.8% | 0.32 | 0.02 | 1.3x | 90 | 36% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-0.4% | -95.4% | 0.31 | -0.00 | 0.9x | 242 | 52% |
| ADX / DI 방향성 period=50, threshold=26 |
0.7% | -90.1% | 0.31 | 0.01 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=47, k=2 |
-9.4% | -99.0% | 0.22 | -0.09 | 0.2x | 56 | 28% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=2.1 |
-10.5% | -99.1% | 0.21 | -0.11 | 0.2x | 82 | 28% |
| Supertrend period=12, mult=5 |
-12.5% | -99.3% | 0.20 | -0.13 | 0.1x | 60 | 46% |
| MACD fast=15, slow=42, signal=14 |
-14.2% | -95.1% | 0.19 | -0.15 | 0.1x | 197 | 48% |
| Buy and hold | 0.3% | -95.0% | 0.32 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 56-day EMA
- Sell — Sell when the 30-day EMA falls below the 56-day EMA