Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canadian Pacific Kansas City Limited backtest
10 trend-following strategies were compared on the full daily history of Canadian Pacific Kansas City Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.0%, MDD -42.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -62.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -42.8%, Sharpe 0.58, 82% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.0%, MDD -54.1%, exposure 94%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 20.2%p (CAGR 11.0%, MDD -42.8%, exposure 82%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=38, exitN=131 |
11.0% | -42.8% | 0.58 | 0.26 | 13.5x | 27 | 82% |
| ROC 모멘텀 n=98, threshold=-0.15 |
11.0% | -54.1% | 0.56 | 0.20 | 13.7x | 75 | 94% |
| SMA 크로스오버 fast=41, slow=171 |
8.8% | -38.5% | 0.52 | 0.23 | 8.2x | 45 | 69% |
| EMA 크로스오버 fast=55, slow=204 |
7.7% | -51.4% | 0.47 | 0.15 | 6.5x | 33 | 73% |
| Supertrend period=19, mult=3.6 |
5.0% | -42.7% | 0.36 | 0.12 | 3.4x | 125 | 57% |
| ADX / DI 방향성 period=36, threshold=35 |
0.5% | -11.5% | 0.19 | 0.05 | 1.1x | 2 | 2% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
0.6% | -21.9% | 0.18 | 0.03 | 1.2x | 12 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.9% | -59.9% | 0.04 | -0.02 | 0.8x | 231 | 55% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=3.6 |
-0.1% | -33.6% | 0.02 | -0.00 | 1.0x | 54 | 14% |
| MACD fast=17, slow=28, signal=14 |
-2.4% | -64.0% | -0.05 | -0.04 | 0.5x | 375 | 49% |
| Buy and hold | 12.9% | -62.9% | 0.58 | 0.21 | 20.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 38 days
- Sell — Sell when price breaks below the lowest low of the last 131 days