Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Scotia Canadian Bond Index Tracker ETF backtest
10 trend-following strategies were compared on the full daily history of Scotia Canadian Bond Index Tracker ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -1.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -21.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.1%, MDD -1.0%, Sharpe -0.14, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR -0.1%, MDD -1.0%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=21 |
-0.1% | -1.0% | -0.14 | -0.08 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=33, k=2.8 |
-0.4% | -5.0% | -0.19 | -0.07 | 1.0x | 10 | 11% |
| SMA 크로스오버 fast=57, slow=209 |
-1.1% | -8.7% | -0.30 | -0.13 | 0.9x | 6 | 38% |
| ROC 모멘텀 n=82, threshold=-0.07 |
-1.9% | -15.8% | -0.33 | -0.12 | 0.9x | 3 | 90% |
| EMA 크로스오버 fast=49, slow=216 |
-1.3% | -7.5% | -0.47 | -0.17 | 0.9x | 6 | 32% |
| Supertrend period=22, mult=5 |
-3.1% | -17.0% | -0.80 | -0.18 | 0.8x | 38 | 44% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=26, mult=2.7 |
-2.3% | -12.9% | -0.81 | -0.18 | 0.9x | 34 | 22% |
| Donchian 채널 돌파 entryN=112, exitN=29 |
-2.1% | -11.8% | -0.84 | -0.18 | 0.9x | 12 | 16% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.5% | -23.8% | -1.13 | -0.19 | 0.8x | 44 | 45% |
| MACD fast=16, slow=38, signal=16 |
-6.0% | -31.7% | -1.47 | -0.19 | 0.7x | 66 | 46% |
| Buy and hold | -3.1% | -21.2% | -0.52 | -0.15 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)