Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Alimentation Couche-Tard Inc. backtest
10 trend-following strategies were compared on the full daily history of Alimentation Couche-Tard Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.8%, MDD -41.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.1%, drawdown -63.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.6%, MDD -48.5%, Sharpe 0.77, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 15.4%p (CAGR 18.8%, MDD -41.3%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=67, exitN=78 |
19.6% | -48.5% | 0.77 | 0.41 | 220.0x | 37 | 73% |
| SMA 크로스오버 fast=35, slow=106 |
18.8% | -41.3% | 0.76 | 0.46 | 179.2x | 63 | 66% |
| EMA 크로스오버 fast=43, slow=216 |
19.3% | -49.2% | 0.74 | 0.39 | 200.9x | 29 | 77% |
| ROC 모멘텀 n=126, threshold=-0.01 |
10.9% | -60.3% | 0.50 | 0.18 | 22.6x | 269 | 72% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
5.2% | -25.0% | 0.45 | 0.21 | 4.6x | 32 | 16% |
| ADX / DI 방향성 period=39, threshold=20 |
6.7% | -41.3% | 0.44 | 0.16 | 7.1x | 64 | 26% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=4 |
6.6% | -43.4% | 0.43 | 0.15 | 6.9x | 106 | 30% |
| Supertrend period=18, mult=5 |
4.0% | -66.8% | 0.28 | 0.06 | 3.2x | 174 | 59% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.4% | -77.0% | 0.18 | 0.02 | 1.5x | 230 | 57% |
| MACD fast=15, slow=44, signal=16 |
-4.5% | -96.3% | -0.07 | -0.05 | 0.3x | 412 | 50% |
| Buy and hold | 23.1% | -63.9% | 0.77 | 0.36 | 514.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 67 days
- Sell — Sell when price breaks below the lowest low of the last 78 days