Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Cogeco Communications Inc. backtest

10 trend-following strategies were compared on the full daily history of Cogeco Communications Inc.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -23.7%).

Data 1996-08-13 ~ 2026-07-31daily bars 7,530 (30.0 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 6.8%, drawdown -85.6%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.0%, MDD -23.7%, Sharpe 0.58, 23% exposure.

CAGR reference leader: MACD — CAGR 7.2%, MDD -51.3%, exposure 51%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 62.0%p (CAGR 7.0%, MDD -23.7%, exposure 23%).

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
Keltner 채널 돌파
emaPeriod=39, atrPeriod=23, mult=3.8
7.0%-23.7%0.580.297.5x7023%
Donchian 채널 돌파
entryN=112, exitN=9
6.1%-31.5%0.550.196.0x10822%
MACD
fast=29, slow=57, signal=20
7.2%-51.3%0.450.148.1x21851%
볼린저 밴드 돌파
n=33, k=3.1
4.6%-33.8%0.450.143.9x6416%
EMA 크로스오버
fast=15, slow=191
6.8%-47.5%0.420.147.1x5256%
Parabolic SAR
step=0.005, maxStep=0.08
6.2%-55.4%0.390.116.0x24254%
ROC 모멘텀
n=113, threshold=0.04
5.8%-48.0%0.390.125.4x18847%
SMA 크로스오버
fast=24, slow=164
5.7%-52.5%0.370.115.2x5853%
Supertrend
period=22, mult=3.8
5.4%-55.2%0.350.104.8x14654%
ADX / DI 방향성
period=26, threshold=30
2.6%-15.1%0.330.172.2x4210%
Buy and hold6.8%-85.6%0.370.087.2x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 MACDKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -21% -43% -64% -86% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdMACDKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -23.7% (2000-03-24 → 2003-03-31), recovered after 1,146 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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