Trend-Following Backtester · Guide · backtest 한국어
equity · CA
CAE Inc. backtest
10 trend-following strategies were compared on the full daily history of CAE Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -58.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.5%, drawdown -81.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -58.5%, Sharpe 0.48, 91% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 10.4%, MDD -58.5%, exposure 91%).
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=6, exitN=79 |
10.4% | -58.5% | 0.48 | 0.18 | 23.0x | 93 | 91% |
| ROC 모멘텀 n=141, threshold=-0.07 |
4.9% | -68.2% | 0.32 | 0.07 | 4.6x | 192 | 75% |
| MACD fast=27, slow=43, signal=31 |
4.2% | -66.3% | 0.29 | 0.06 | 3.7x | 263 | 52% |
| Supertrend period=28, mult=3 |
4.1% | -67.6% | 0.29 | 0.06 | 3.6x | 210 | 57% |
| ADX / DI 방향성 period=38, threshold=20 |
2.7% | -25.6% | 0.28 | 0.11 | 2.3x | 60 | 16% |
| EMA 크로스오버 fast=18, slow=172 |
3.1% | -60.6% | 0.25 | 0.05 | 2.6x | 80 | 62% |
| SMA 크로스오버 fast=20, slow=198 |
3.1% | -60.3% | 0.25 | 0.05 | 2.6x | 62 | 62% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=10, mult=3.6 |
2.0% | -44.0% | 0.20 | 0.05 | 1.9x | 80 | 27% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.9% | -66.6% | 0.20 | 0.03 | 1.8x | 251 | 56% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
1.2% | -30.0% | 0.18 | 0.04 | 1.5x | 26 | 8% |
| Buy and hold | 7.5% | -81.2% | 0.38 | 0.09 | 9.9x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 79 days