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 17.5%, MDD -34.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.9%, drawdown -72.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.2%, MDD -40.9%, Sharpe 0.85, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 17.5%, MDD -34.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=134, threshold=0.06 |
18.2% | -40.9% | 0.85 | 0.45 | 11.4x | 64 | 54% |
| Donchian 채널 돌파 entryN=109, exitN=65 |
17.5% | -34.3% | 0.83 | 0.51 | 10.4x | 14 | 53% |
| EMA 크로스오버 fast=36, slow=172 |
17.9% | -53.5% | 0.76 | 0.33 | 10.9x | 13 | 64% |
| SMA 크로스오버 fast=50, slow=138 |
17.2% | -64.9% | 0.73 | 0.27 | 10.1x | 21 | 64% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=14, mult=3.4 |
7.2% | -25.4% | 0.49 | 0.28 | 2.7x | 46 | 29% |
| 볼린저 밴드 돌파 n=59, k=2 |
7.1% | -45.1% | 0.45 | 0.16 | 2.7x | 54 | 41% |
| Supertrend period=25, mult=3.7 |
8.1% | -62.3% | 0.44 | 0.13 | 3.1x | 84 | 61% |
| ADX / DI 방향성 period=39, threshold=15 |
5.3% | -39.1% | 0.37 | 0.14 | 2.1x | 78 | 30% |
| Parabolic SAR step=0.03, maxStep=0.16 |
1.5% | -78.2% | 0.18 | 0.02 | 1.2x | 354 | 53% |
| MACD fast=18, slow=33, signal=13 |
0.2% | -69.1% | 0.13 | 0.00 | 1.0x | 210 | 49% |
| Buy and hold | 16.9% | -72.5% | 0.63 | 0.23 | 9.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 134-day return is greater than 6%
- Sell — Sell when the 134-day return drops to 6% or below