Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Cargojet Inc. backtest

10 trend-following strategies were compared on the full daily history of Cargojet Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.6%, MDD -34.3%).

Data 2012-02-13 ~ 2026-07-31daily bars 3,631 (14.5 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 17.0%, drawdown -72.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.4%, MDD -40.9%, Sharpe 0.85, 54% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 18.8%, MDD -48.3%, exposure 64%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 17.6%, MDD -34.3%, exposure 54%).

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
ROC 모멘텀
n=134, threshold=0.06
18.4%-40.9%0.850.4511.4x6454%
Donchian 채널 돌파
entryN=109, exitN=65
17.6%-34.3%0.830.5110.4x1454%
EMA 크로스오버
fast=36, slow=172
18.8%-48.3%0.780.3912.1x1264%
SMA 크로스오버
fast=50, slow=138
17.5%-64.6%0.740.2710.4x2064%
볼린저 밴드 돌파
n=59, k=2
7.9%-38.8%0.490.203.0x5241%
Keltner 채널 돌파
emaPeriod=43, atrPeriod=14, mult=3.4
7.2%-25.4%0.490.292.7x4629%
Supertrend
period=25, mult=3.7
8.2%-62.3%0.450.133.1x8361%
ADX / DI 방향성
period=39, threshold=15
5.3%-39.1%0.370.142.1x7831%
Parabolic SAR
step=0.03, maxStep=0.16
1.6%-78.2%0.190.021.3x35153%
MACD
fast=18, slow=33, signal=13
0.5%-69.1%0.140.011.1x20849%
Buy and hold17.0%-72.5%0.630.239.7x1100%
1x 10x 2013 2015 2017 2019 2021 2023 2025 EMA 크로스오버ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -18% -36% -54% -72% 2013 2015 2017 2019 2021 2023 2025 Buy and holdEMA 크로스오버ROC 모멘텀
ROC 모멘텀 maximum drawdown -40.9% (2020-11-05 → 2026-06-17), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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