Trend-Following Backtester · Guide · backtest 한국어
equity · US
QuinStreet, Inc. backtest
10 trend-following strategies were compared on the full daily history of QuinStreet, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.5%, MDD -24.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.2%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -67.5%, Sharpe 0.44, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 1.5%, MDD -24.1%, exposure 7%).
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=87, exitN=73 |
9.8% | -67.5% | 0.44 | 0.15 | 4.7x | 21 | 43% |
| ADX / DI 방향성 period=28, threshold=28 |
5.3% | -26.2% | 0.42 | 0.20 | 2.3x | 16 | 10% |
| SMA 크로스오버 fast=55, slow=115 |
8.1% | -71.9% | 0.40 | 0.11 | 3.6x | 31 | 48% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=3.5 |
5.1% | -41.2% | 0.36 | 0.12 | 2.3x | 31 | 18% |
| EMA 크로스오버 fast=16, slow=170 |
5.5% | -65.1% | 0.32 | 0.08 | 2.4x | 35 | 43% |
| ROC 모멘텀 n=98, threshold=-0.02 |
5.3% | -68.7% | 0.32 | 0.08 | 2.4x | 133 | 49% |
| Supertrend period=21, mult=4.3 |
5.4% | -71.3% | 0.32 | 0.08 | 2.4x | 50 | 50% |
| MACD fast=18, slow=53, signal=20 |
-0.1% | -73.6% | 0.18 | -0.00 | 1.0x | 162 | 55% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
1.5% | -24.1% | 0.18 | 0.06 | 1.3x | 28 | 7% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-2.2% | -85.6% | 0.10 | -0.03 | 0.7x | 230 | 50% |
| Buy and hold | 0.2% | -89.1% | 0.26 | 0.00 | 1.0x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 73 days