Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Qatar Insurance Company QSPC backtest
10 trend-following strategies were compared on the full daily history of Qatar Insurance Company QSPC. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 1.9%, MDD -33.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.4%, drawdown -78.3%).
Sharpe leader (same as main): Supertrend — CAGR 2.8%, MDD -50.9%, Sharpe 0.24, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 27.4%p (CAGR 1.9%, MDD -33.0%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.3 |
2.8% | -50.9% | 0.24 | 0.05 | 1.6x | 60 | 53% |
| Donchian 채널 돌파 entryN=98, exitN=50 |
2.2% | -38.2% | 0.22 | 0.06 | 1.4x | 22 | 29% |
| SMA 크로스오버 fast=78, slow=166 |
1.9% | -33.0% | 0.20 | 0.06 | 1.4x | 26 | 47% |
| EMA 크로스오버 fast=44, slow=171 |
1.1% | -53.8% | 0.15 | 0.02 | 1.2x | 24 | 47% |
| 볼린저 밴드 돌파 n=59, k=2 |
1.1% | -46.0% | 0.15 | 0.02 | 1.2x | 56 | 28% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=23, mult=2.6 |
0.8% | -58.2% | 0.13 | 0.01 | 1.1x | 58 | 23% |
| MACD fast=20, slow=43, signal=22 |
0.3% | -63.0% | 0.11 | 0.00 | 1.0x | 151 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-1.1% | -67.4% | 0.04 | -0.02 | 0.8x | 181 | 51% |
| ADX / DI 방향성 period=38, threshold=25 |
-0.3% | -17.9% | -0.03 | -0.01 | 1.0x | 12 | 2% |
| ROC 모멘텀 n=94, threshold=0.11 |
-1.8% | -66.9% | -0.07 | -0.03 | 0.7x | 94 | 22% |
| Buy and hold | 0.4% | -78.3% | 0.16 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)