Trend-Following Backtester · Guide · backtest 한국어
equity · US
QCR Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of QCR Holdings, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.3%, MDD -41.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -69.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.3%, MDD -41.8%, Sharpe 0.59, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 12.3%, MDD -41.8%, exposure 62%).
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=59, slow=213 |
12.3% | -41.8% | 0.59 | 0.29 | 45.5x | 15 | 62% |
| SMA 크로스오버 fast=17, slow=183 |
9.6% | -51.0% | 0.48 | 0.19 | 20.3x | 61 | 62% |
| Donchian 채널 돌파 entryN=123, exitN=80 |
8.8% | -55.7% | 0.47 | 0.16 | 15.9x | 31 | 58% |
| Supertrend period=10, mult=4.8 |
4.7% | -76.3% | 0.30 | 0.06 | 4.5x | 99 | 62% |
| 볼린저 밴드 돌파 n=77, k=3.2 |
3.5% | -42.5% | 0.29 | 0.08 | 3.1x | 50 | 25% |
| ADX / DI 방향성 period=37, threshold=34 |
1.0% | -11.5% | 0.22 | 0.09 | 1.4x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=29, mult=2.8 |
2.1% | -64.5% | 0.20 | 0.03 | 2.0x | 107 | 35% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.5% | -77.9% | 0.16 | 0.01 | 1.2x | 239 | 53% |
| ROC 모멘텀 n=135, threshold=-0.01 |
-3.0% | -93.6% | 0.02 | -0.03 | 0.4x | 375 | 64% |
| MACD fast=20, slow=56, signal=24 |
-7.4% | -96.7% | -0.15 | -0.08 | 0.1x | 335 | 49% |
| Buy and hold | 10.0% | -69.0% | 0.44 | 0.15 | 23.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 213-day EMA
- Sell — Sell when the 59-day EMA falls below the 213-day EMA