Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canadian Natural Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Canadian Natural Resources Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.5%, drawdown -79.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -23.0%, Sharpe 0.55, 11% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.8%, MDD -61.3%, exposure 88%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=3.3 |
4.5% | -23.0% | 0.55 | 0.20 | 4.1x | 20 | 11% |
| ROC 모멘텀 n=77, threshold=-0.15 |
10.8% | -61.3% | 0.49 | 0.18 | 25.9x | 161 | 88% |
| EMA 크로스오버 fast=47, slow=60 |
8.9% | -63.2% | 0.48 | 0.14 | 14.7x | 83 | 63% |
| SMA 크로스오버 fast=28, slow=113 |
8.0% | -63.9% | 0.44 | 0.13 | 11.6x | 85 | 63% |
| Donchian 채널 돌파 entryN=99, exitN=75 |
7.5% | -57.3% | 0.43 | 0.13 | 9.8x | 47 | 56% |
| Supertrend period=20, mult=4.5 |
4.8% | -54.8% | 0.32 | 0.09 | 4.5x | 139 | 56% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=15, mult=3.8 |
2.7% | -56.6% | 0.26 | 0.05 | 2.3x | 83 | 21% |
| ADX / DI 방향성 period=33, threshold=15 |
1.4% | -51.0% | 0.17 | 0.03 | 1.6x | 148 | 25% |
| MACD fast=16, slow=38, signal=11 |
-0.4% | -89.4% | 0.11 | -0.00 | 0.9x | 467 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-4.3% | -90.7% | -0.05 | -0.05 | 0.3x | 587 | 54% |
| Buy and hold | 15.5% | -79.9% | 0.57 | 0.19 | 95.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 56-day middle average