Trend-Following Backtester · Guide · backtest 한국어
equity · US
Q2 Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Q2 Holdings, Inc.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.3%, MDD -33.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.9%, drawdown -85.8%).
Sharpe leader (same as main): Supertrend — CAGR 23.8%, MDD -61.8%, Sharpe 0.87, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 15.3%, MDD -33.0%, exposure 44%).
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=37, mult=4.3 |
23.8% | -61.8% | 0.87 | 0.39 | 14.0x | 33 | 61% |
| ROC 모멘텀 n=142, threshold=-0.08 |
22.7% | -38.5% | 0.83 | 0.59 | 12.5x | 42 | 66% |
| SMA 크로스오버 fast=6, slow=159 |
19.2% | -38.2% | 0.78 | 0.50 | 8.8x | 35 | 58% |
| EMA 크로스오버 fast=12, slow=119 |
18.4% | -38.8% | 0.75 | 0.47 | 8.1x | 29 | 59% |
| Donchian 채널 돌파 entryN=108, exitN=59 |
15.3% | -33.0% | 0.73 | 0.46 | 5.8x | 13 | 44% |
| 볼린저 밴드 돌파 n=44, k=2 |
10.9% | -38.9% | 0.58 | 0.28 | 3.6x | 59 | 41% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=3.1 |
7.7% | -31.5% | 0.48 | 0.25 | 2.5x | 35 | 31% |
| MACD fast=14, slow=29, signal=16 |
9.5% | -66.7% | 0.45 | 0.14 | 3.1x | 167 | 51% |
| Parabolic SAR step=0.01, maxStep=0.26 |
9.2% | -68.5% | 0.44 | 0.13 | 3.0x | 177 | 57% |
| ADX / DI 방향성 period=25, threshold=11 |
4.2% | -54.1% | 0.29 | 0.08 | 1.7x | 159 | 48% |
| Buy and hold | 11.9% | -85.8% | 0.47 | 0.14 | 4.0x | 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) — 37-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)