Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quantum Computing Inc. backtest
10 trend-following strategies were compared on the full daily history of Quantum Computing Inc.. 6 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
6 of 10 beat buy and hold (CAGR -27.3%, drawdown -100.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR -16.0%, MDD -100.0%, Sharpe 0.62, 34% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.6%, MDD -96.7%, exposure 12%.
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.24 |
-16.0% | -100.0% | 0.62 | -0.16 | 0.0x | 86 | 34% |
| SMA 크로스오버 fast=44, slow=105 |
-11.3% | -99.9% | 0.59 | -0.11 | 0.1x | 53 | 35% |
| EMA 크로스오버 fast=50, slow=164 |
-0.6% | -97.6% | 0.50 | -0.01 | 0.9x | 20 | 22% |
| ADX / DI 방향성 period=34, threshold=20 |
-11.6% | -99.8% | 0.48 | -0.12 | 0.1x | 52 | 20% |
| 볼린저 밴드 돌파 n=87, k=3.5 |
0.6% | -96.7% | 0.41 | 0.01 | 1.1x | 20 | 12% |
| MACD fast=19, slow=40, signal=22 |
-22.9% | -100.0% | 0.37 | -0.23 | 0.0x | 166 | 53% |
| Donchian 채널 돌파 entryN=106, exitN=79 |
-57.0% | -100.0% | 0.37 | -0.57 | 0.0x | 32 | 37% |
| ROC 모멘텀 n=96, threshold=-0.01 |
-59.1% | -100.0% | 0.27 | -0.59 | 0.0x | 259 | 42% |
| Supertrend period=2, mult=4.9 |
-66.8% | -100.0% | 0.26 | -0.67 | 0.0x | 158 | 42% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=19, mult=4 |
-48.5% | -100.0% | 0.02 | -0.49 | 0.0x | 66 | 12% |
| Buy and hold | -27.3% | -100.0% | 0.57 | -0.27 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots