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. 7 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 -0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.9%, drawdown -21.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.0%, MDD -0.5%, Sharpe -0.00, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR -0.0%, MDD -0.5%, 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=37, threshold=22 |
-0.0% | -0.5% | -0.00 | -0.01 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=31, k=3 |
-0.2% | -4.2% | -0.13 | -0.06 | 1.0x | 8 | 9% |
| ROC 모멘텀 n=166, threshold=-0.08 |
-1.2% | -13.8% | -0.21 | -0.09 | 0.9x | 3 | 77% |
| SMA 크로스오버 fast=57, slow=215 |
-1.1% | -8.7% | -0.30 | -0.13 | 0.9x | 6 | 39% |
| EMA 크로스오버 fast=42, slow=233 |
-1.2% | -7.2% | -0.43 | -0.17 | 0.9x | 6 | 33% |
| Supertrend period=37, mult=4.9 |
-2.9% | -15.9% | -0.75 | -0.19 | 0.8x | 38 | 45% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=28, mult=2.8 |
-2.4% | -13.0% | -0.83 | -0.18 | 0.9x | 34 | 23% |
| Donchian 채널 돌파 entryN=116, exitN=24 |
-2.0% | -10.9% | -0.89 | -0.18 | 0.9x | 12 | 14% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.3% | -22.2% | -1.07 | -0.19 | 0.8x | 42 | 46% |
| MACD fast=17, slow=28, signal=19 |
-5.7% | -29.3% | -1.38 | -0.20 | 0.7x | 66 | 48% |
| Buy and hold | -2.9% | -21.2% | -0.48 | -0.14 | 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, 37-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)