Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quantum Corporation backtest
10 trend-following strategies were compared on the full daily history of Quantum Corporation. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.6%, MDD -76.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.4%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -91.2%, Sharpe 0.37, 50% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 5.6%, MDD -76.1%, exposure 12%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.0%p higher than buy and hold, while drawdown improves by 8.7%p (CAGR 5.6%, MDD -76.1%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=47, exitN=54 |
5.6% | -91.2% | 0.37 | 0.06 | 4.4x | 53 | 50% |
| MACD fast=13, slow=37, signal=12 |
3.1% | -95.1% | 0.36 | 0.03 | 2.3x | 403 | 51% |
| Supertrend period=10, mult=5 |
-1.0% | -94.3% | 0.31 | -0.01 | 0.8x | 67 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=19, mult=3.3 |
5.6% | -76.1% | 0.30 | 0.07 | 4.4x | 51 | 12% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-0.3% | -96.5% | 0.29 | -0.00 | 0.9x | 447 | 47% |
| ADX / DI 방향성 period=27, threshold=18 |
2.9% | -92.7% | 0.29 | 0.03 | 2.2x | 131 | 17% |
| ROC 모멘텀 n=109, threshold=0.06 |
1.7% | -88.5% | 0.28 | 0.02 | 1.6x | 231 | 37% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
3.2% | -77.7% | 0.28 | 0.04 | 2.3x | 73 | 19% |
| SMA 크로스오버 fast=33, slow=67 |
-2.3% | -93.6% | 0.26 | -0.02 | 0.5x | 103 | 46% |
| EMA 크로스오버 fast=39, slow=77 |
-0.6% | -91.1% | 0.24 | -0.01 | 0.8x | 63 | 41% |
| Buy and hold | -16.4% | -99.9% | 0.25 | -0.16 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 47 days
- Sell — Sell when price breaks below the lowest low of the last 54 days