Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Cameco Corporation backtest

10 trend-following strategies were compared on the full daily history of Cameco Corporation. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.5%, MDD -69.1%).

Data 1995-01-12 ~ 2026-07-31daily bars 7,930 (31.5 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 10.6%, drawdown -86.6%).

Sharpe leader (same as main): Supertrend — CAGR 11.5%, MDD -69.1%, Sharpe 0.53, 56% exposure.

Return/drawdown alternative: Supertrend — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 11.5%, MDD -69.1%, exposure 56%).

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
Supertrend
period=11, mult=4.7
11.5%-69.1%0.530.1731.2x10456%
EMA 크로스오버
fast=54, slow=174
9.9%-73.5%0.470.1319.6x3453%
Keltner 채널 돌파
emaPeriod=37, atrPeriod=8, mult=4
5.1%-36.2%0.430.144.8x5214%
볼린저 밴드 돌파
n=44, k=3.4
4.5%-26.2%0.420.174.0x268%
Donchian 채널 돌파
entryN=68, exitN=58
8.1%-64.9%0.410.1211.6x5655%
ROC 모멘텀
n=122, threshold=-0.01
7.1%-82.9%0.380.098.6x24857%
SMA 크로스오버
fast=41, slow=168
6.6%-80.6%0.360.087.5x4855%
ADX / DI 방향성
period=31, threshold=34
1.5%-19.7%0.340.081.6x103%
MACD
fast=20, slow=23, signal=11
-3.0%-91.3%0.03-0.030.4x48850%
Parabolic SAR
step=0.02, maxStep=0.38
-6.3%-97.6%-0.10-0.060.1x66650%
Buy and hold10.6%-86.6%0.450.1224.0x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -43% -65% -87% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdSupertrend
Supertrend maximum drawdown -69.1% (1996-03-13 → 2000-08-29), recovered after 2,760 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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