Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Bank of Nova Scotia backtest
10 trend-following strategies were compared on the full daily history of Bank of Nova Scotia. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -31.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -55.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -37.5%, Sharpe 0.60, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 18.1%p (CAGR 7.8%, MDD -31.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=181 |
8.4% | -37.5% | 0.60 | 0.22 | 12.6x | 39 | 65% |
| Donchian 채널 돌파 entryN=42, exitN=51 |
7.8% | -31.8% | 0.58 | 0.25 | 10.7x | 69 | 66% |
| EMA 크로스오버 fast=21, slow=173 |
7.3% | -45.6% | 0.55 | 0.16 | 9.1x | 63 | 66% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
1.7% | -20.2% | 0.46 | 0.08 | 1.7x | 12 | 6% |
| Supertrend period=12, mult=5 |
5.3% | -40.7% | 0.44 | 0.13 | 5.1x | 93 | 56% |
| ROC 모멘텀 n=118, threshold=-0.04 |
5.0% | -53.4% | 0.39 | 0.09 | 4.6x | 211 | 76% |
| ADX / DI 방향성 period=28, threshold=41 |
0.7% | -7.1% | 0.31 | 0.09 | 1.2x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=17, mult=3.3 |
2.0% | -50.1% | 0.26 | 0.04 | 1.9x | 97 | 24% |
| MACD fast=28, slow=55, signal=21 |
-0.4% | -69.6% | 0.05 | -0.01 | 0.9x | 284 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.6% | -76.4% | 0.03 | -0.01 | 0.8x | 289 | 55% |
| Buy and hold | 9.9% | -55.6% | 0.53 | 0.18 | 19.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 50-day average falls below the 181-day average