Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quanta Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Quanta Services, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.7%, MDD -76.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.1%, drawdown -97.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.6%, MDD -83.4%, Sharpe 0.65, 94% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 13.7%p (CAGR 14.7%, MDD -76.1%, exposure 70%).
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=6, exitN=115 |
20.6% | -83.4% | 0.65 | 0.25 | 206.0x | 59 | 94% |
| SMA 크로스오버 fast=24, slow=121 |
15.1% | -77.8% | 0.59 | 0.19 | 54.2x | 63 | 64% |
| ROC 모멘텀 n=116, threshold=-0.04 |
14.7% | -76.1% | 0.57 | 0.19 | 49.1x | 189 | 70% |
| EMA 크로스오버 fast=45, slow=75 |
14.0% | -72.6% | 0.57 | 0.19 | 41.4x | 57 | 65% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
8.4% | -41.9% | 0.55 | 0.20 | 10.1x | 44 | 16% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=3.9 |
7.7% | -42.5% | 0.47 | 0.18 | 8.4x | 66 | 25% |
| Supertrend period=17, mult=2.6 |
10.0% | -83.4% | 0.46 | 0.12 | 15.2x | 241 | 58% |
| MACD fast=19, slow=58, signal=14 |
10.1% | -79.1% | 0.46 | 0.13 | 15.5x | 318 | 52% |
| ADX / DI 방향성 period=28, threshold=22 |
4.9% | -34.4% | 0.37 | 0.14 | 3.9x | 82 | 15% |
| Parabolic SAR step=0.01, maxStep=0.3 |
6.5% | -91.7% | 0.36 | 0.07 | 6.0x | 399 | 55% |
| Buy and hold | 17.1% | -97.1% | 0.58 | 0.18 | 88.5x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 115 days