Trend-Following Backtester · Guide · backtest 한국어
etf · CA
RBC Canadian Discount Bond ETF Trust Units backtest
10 trend-following strategies were compared on the full daily history of RBC Canadian Discount Bond ETF Trust Units. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 0.8%, MDD -2.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.7%, drawdown -9.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.8%, MDD -2.9%, Sharpe 0.39, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 6.1%p (CAGR 0.8%, MDD -2.9%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=197 |
0.8% | -2.9% | 0.39 | 0.28 | 1.1x | 9 | 54% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
0.2% | -1.1% | 0.33 | 0.18 | 1.0x | 2 | 6% |
| EMA 크로스오버 fast=38, slow=213 |
0.3% | -7.7% | 0.18 | 0.04 | 1.0x | 9 | 58% |
| ROC 모멘텀 n=16, threshold=0.06 |
0.0% | -0.7% | 0.06 | 0.03 | 1.0x | 2 | 0% |
| Supertrend period=12, mult=4.9 |
-0.2% | -10.8% | -0.03 | -0.02 | 1.0x | 16 | 55% |
| Donchian 채널 돌파 entryN=76, exitN=68 |
-0.2% | -9.4% | -0.05 | -0.02 | 1.0x | 6 | 45% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=4 |
-0.3% | -2.6% | -0.32 | -0.10 | 1.0x | 4 | 3% |
| ADX / DI 방향성 period=38, threshold=28 |
-0.1% | -1.1% | -0.38 | -0.11 | 1.0x | 2 | 1% |
| MACD fast=28, slow=35, signal=32 |
-3.8% | -24.4% | -1.04 | -0.16 | 0.8x | 52 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.8% | -24.3% | -1.44 | -0.16 | 0.8x | 62 | 58% |
| Buy and hold | 0.7% | -9.0% | 0.16 | 0.08 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 39-day average falls below the 197-day average