Trend-Following Backtester · Guide · backtest 한국어

equity · CA

BCE Inc. backtest

10 trend-following strategies were compared on the full daily history of BCE Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -14.3%).

Data 1996-05-06 ~ 2026-07-31daily bars 7,598 (30.2 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 0.4%, drawdown -89.4%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.9%, MDD -22.7%, Sharpe 0.39, 10% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 3.4%, MDD -45.2%, exposure 47%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 66.6%p (CAGR 1.8%, MDD -14.3%, exposure 3%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=56, k=3.3
2.9%-22.7%0.390.132.4x2210%
ADX / DI 방향성
period=28, threshold=33
1.8%-14.3%0.330.131.7x103%
Donchian 채널 돌파
entryN=90, exitN=48
3.4%-45.2%0.320.082.8x6047%
SMA 크로스오버
fast=27, slow=65
3.1%-66.1%0.270.052.5x13656%
Supertrend
period=12, mult=5
2.6%-57.1%0.250.042.2x9649%
ROC 모멘텀
n=44, threshold=0.13
1.4%-39.2%0.200.041.5x1067%
EMA 크로스오버
fast=46, slow=204
0.6%-85.1%0.200.011.2x3053%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=12, mult=3.7
1.2%-54.1%0.160.021.4x6816%
MACD
fast=19, slow=53, signal=24
-2.2%-89.5%-0.05-0.020.5x31053%
Parabolic SAR
step=0.005, maxStep=0.32
-3.4%-89.3%-0.13-0.040.3x26455%
Buy and hold0.4%-89.4%0.200.001.1x1100%
1x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -22% -45% -67% -89% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -22.7% (2000-03-27 → 2006-11-02), recovered after 5,414 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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