Trend-Following Backtester · Guide · backtest 한국어
equity · US
IonQ, Inc. backtest
10 trend-following strategies were compared on the full daily history of IonQ, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 57.4%, MDD -50.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 25.6%, drawdown -90.0%).
Sharpe leader (same as main): Supertrend — CAGR 65.4%, MDD -72.6%, Sharpe 1.05, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 39.8%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 57.4%, MDD -50.0%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=3.4 |
65.4% | -72.6% | 1.05 | 0.90 | 17.2x | 29 | 44% |
| Donchian 채널 돌파 entryN=29, exitN=9 |
57.4% | -50.0% | 1.02 | 1.15 | 13.0x | 28 | 27% |
| SMA 크로스오버 fast=9, slow=57 |
57.5% | -59.8% | 0.97 | 0.96 | 13.0x | 36 | 41% |
| ADX / DI 방향성 period=14, threshold=19 |
53.6% | -50.2% | 0.95 | 1.07 | 11.3x | 66 | 37% |
| 볼린저 밴드 돌파 n=34, k=1.3 |
49.0% | -57.9% | 0.92 | 0.85 | 9.5x | 42 | 32% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=11, mult=1.8 |
41.9% | -55.3% | 0.86 | 0.76 | 7.2x | 34 | 23% |
| MACD fast=15, slow=40, signal=9 |
43.8% | -57.4% | 0.85 | 0.76 | 7.8x | 79 | 51% |
| EMA 크로스오버 fast=9, slow=61 |
42.9% | -68.8% | 0.84 | 0.62 | 7.5x | 28 | 40% |
| ROC 모멘텀 n=37, threshold=0.04 |
42.0% | -68.2% | 0.83 | 0.62 | 7.3x | 80 | 40% |
| Parabolic SAR step=0.01, maxStep=0.26 |
24.7% | -65.7% | 0.66 | 0.38 | 3.5x | 76 | 43% |
| Buy and hold | 25.6% | -90.0% | 0.71 | 0.28 | 3.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)