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. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 0.9%, MDD -2.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.6%, drawdown -9.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.9%, MDD -2.8%, Sharpe 0.41, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 6.2%p (CAGR 0.9%, MDD -2.8%, exposure 53%).
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=196 |
0.9% | -2.8% | 0.41 | 0.31 | 1.1x | 10 | 53% |
| EMA 크로스오버 fast=46, slow=236 |
0.6% | -4.4% | 0.35 | 0.15 | 1.0x | 6 | 57% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
0.2% | -1.1% | 0.33 | 0.17 | 1.0x | 2 | 5% |
| ROC 모멘텀 Hold-like · Exposure 98% n=43, threshold=-0.06 |
0.3% | -9.1% | 0.08 | 0.03 | 1.0x | 3 | 98% |
| Supertrend period=19, mult=5 |
-0.2% | -9.3% | -0.03 | -0.02 | 1.0x | 16 | 55% |
| Donchian 채널 돌파 entryN=71, exitN=78 |
-0.2% | -9.4% | -0.05 | -0.02 | 1.0x | 6 | 44% |
| ADX / DI 방향성 period=30, threshold=23 |
-0.2% | -2.5% | -0.17 | -0.07 | 1.0x | 10 | 12% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=3.7 |
-0.2% | -3.2% | -0.20 | -0.07 | 1.0x | 8 | 11% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.0% | -8.8% | -0.39 | -0.12 | 0.9x | 30 | 62% |
| MACD fast=31, slow=34, signal=30 |
-3.8% | -24.5% | -1.04 | -0.15 | 0.8x | 52 | 48% |
| Buy and hold | 0.6% | -9.0% | 0.14 | 0.07 | 1.0x | 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 196-day average
- Sell — Sell (to cash) when the 39-day average falls below the 196-day average