Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Qatar Islamic Bank backtest
10 trend-following strategies were compared on the full daily history of Qatar Islamic Bank. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -92.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.2%, MDD -90.8%, Sharpe 0.33, 54% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=182 |
3.2% | -90.8% | 0.33 | 0.04 | 1.7x | 28 | 54% |
| Donchian 채널 돌파 entryN=26, exitN=79 |
2.0% | -92.8% | 0.32 | 0.02 | 1.4x | 32 | 80% |
| EMA 크로스오버 fast=43, slow=86 |
2.3% | -91.1% | 0.32 | 0.02 | 1.4x | 32 | 55% |
| ROC 모멘텀 n=126, threshold=0.12 |
1.8% | -91.4% | 0.32 | 0.02 | 1.3x | 102 | 22% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-10.3% | -92.5% | 0.21 | -0.11 | 0.2x | 173 | 51% |
| ADX / DI 방향성 period=14, threshold=33 |
-2.2% | -92.7% | 0.21 | -0.02 | 0.7x | 64 | 9% |
| Supertrend period=26, mult=3.9 |
-11.8% | -99.2% | 0.21 | -0.12 | 0.1x | 80 | 51% |
| MACD fast=18, slow=40, signal=14 |
-12.5% | -94.0% | 0.20 | -0.13 | 0.1x | 195 | 50% |
| 볼린저 밴드 돌파 n=46, k=1 |
-12.7% | -99.3% | 0.20 | -0.13 | 0.1x | 128 | 41% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=3.1 |
-24.0% | -99.2% | -0.29 | -0.24 | 0.0x | 58 | 21% |
| Buy and hold | 6.2% | -92.3% | 0.34 | 0.07 | 2.7x | 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 32-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 32-day average falls below the 182-day average