Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Boralex Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Boralex Inc. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.3%, MDD -55.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.9%, drawdown -73.7%).
Sharpe leader (same as main): Supertrend — CAGR 8.9%, MDD -61.4%, Sharpe 0.45, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 12.3%p (CAGR 6.3%, MDD -55.9%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=5 |
8.9% | -61.4% | 0.45 | 0.14 | 12.8x | 75 | 57% |
| EMA 크로스오버 fast=55, slow=183 |
6.2% | -54.8% | 0.38 | 0.11 | 6.1x | 37 | 56% |
| SMA 크로스오버 fast=32, slow=171 |
6.3% | -55.9% | 0.38 | 0.11 | 6.3x | 61 | 57% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=24, mult=2.7 |
4.5% | -49.3% | 0.33 | 0.09 | 3.7x | 99 | 36% |
| Donchian 채널 돌파 entryN=12, exitN=73 |
5.2% | -70.3% | 0.32 | 0.07 | 4.6x | 89 | 81% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
3.5% | -56.6% | 0.28 | 0.06 | 2.8x | 99 | 31% |
| ADX / DI 방향성 period=39, threshold=10 |
3.7% | -62.6% | 0.28 | 0.06 | 3.0x | 255 | 46% |
| Parabolic SAR step=0.015, maxStep=0.1 |
2.9% | -59.0% | 0.24 | 0.05 | 2.3x | 442 | 52% |
| ROC 모멘텀 n=72, threshold=0.06 |
-0.0% | -69.9% | 0.10 | -0.00 | 1.0x | 380 | 41% |
| MACD fast=18, slow=38, signal=20 |
-4.0% | -92.6% | -0.03 | -0.04 | 0.3x | 352 | 49% |
| Buy and hold | 7.9% | -73.7% | 0.39 | 0.11 | 9.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)