Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Qatar International Islamic Bank backtest
10 trend-following strategies were compared on the full daily history of Qatar International Islamic Bank. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.0%, drawdown -91.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.2%, MDD -91.0%, Sharpe 0.33, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.07 |
5.2% | -91.0% | 0.33 | 0.06 | 2.3x | 25 | 100% |
| SMA 크로스오버 fast=41, slow=169 |
2.4% | -91.6% | 0.32 | 0.03 | 1.5x | 28 | 55% |
| Donchian 채널 돌파 entryN=99, exitN=28 |
2.3% | -91.0% | 0.32 | 0.03 | 1.5x | 34 | 34% |
| MACD fast=22, slow=65, signal=23 |
2.0% | -91.0% | 0.32 | 0.02 | 1.4x | 134 | 52% |
| EMA 크로스오버 fast=42, slow=57 |
1.3% | -90.2% | 0.32 | 0.01 | 1.2x | 48 | 55% |
| Parabolic SAR step=0.04, maxStep=0.04 |
0.6% | -90.3% | 0.32 | 0.01 | 1.1x | 190 | 54% |
| ADX / DI 방향성 period=28, threshold=29 |
2.4% | -90.3% | 0.23 | 0.03 | 1.5x | 16 | 7% |
| Supertrend period=20, mult=3.8 |
-10.9% | -99.1% | 0.21 | -0.11 | 0.1x | 66 | 56% |
| 볼린저 밴드 돌파 n=32, k=1.7 |
-10.9% | -99.1% | 0.21 | -0.11 | 0.1x | 106 | 36% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=2 |
-12.1% | -99.1% | 0.20 | -0.12 | 0.1x | 80 | 35% |
| Buy and hold | 5.0% | -91.6% | 0.33 | 0.05 | 2.2x | 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 1-day return is greater than -7%
- Sell — Sell when the 1-day return drops to -7% or below