Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Canadian Banc Corp Class A backtest
10 trend-following strategies were compared on the full daily history of Canadian Banc Corp Class A. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.6%, MDD -17.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.2%, drawdown -86.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -35.4%, Sharpe 0.71, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 50.7%p (CAGR 8.6%, MDD -17.1%, exposure 31%).
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=54, exitN=61 |
11.3% | -35.4% | 0.71 | 0.32 | 9.5x | 27 | 58% |
| 볼린저 밴드 돌파 n=75, k=2 |
8.6% | -17.1% | 0.69 | 0.50 | 5.6x | 39 | 31% |
| SMA 크로스오버 fast=29, slow=83 |
9.8% | -30.9% | 0.64 | 0.32 | 7.2x | 65 | 56% |
| EMA 크로스오버 fast=39, slow=123 |
9.1% | -25.3% | 0.62 | 0.36 | 6.2x | 33 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=3.5 |
7.4% | -24.6% | 0.60 | 0.30 | 4.4x | 43 | 27% |
| ADX / DI 방향성 period=38, threshold=15 |
6.9% | -25.8% | 0.57 | 0.27 | 4.1x | 81 | 23% |
| Supertrend period=8, mult=4.8 |
7.4% | -41.7% | 0.52 | 0.18 | 4.5x | 65 | 46% |
| ROC 모멘텀 n=71, threshold=0.13 |
5.3% | -29.4% | 0.49 | 0.18 | 2.9x | 109 | 16% |
| MACD fast=28, slow=58, signal=25 |
2.6% | -65.8% | 0.23 | 0.04 | 1.7x | 153 | 49% |
| Parabolic SAR step=0.045, maxStep=0.3 |
-8.8% | -92.3% | -0.33 | -0.10 | 0.1x | 664 | 53% |
| Buy and hold | 2.2% | -86.0% | 0.23 | 0.03 | 1.6x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 61 days