Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Capital Power Corporation backtest

10 trend-following strategies were compared on the full daily history of Capital Power Corporation. 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 6.2%, MDD -17.9%).

Data 2009-08-10 ~ 2026-07-31daily bars 4,261 (17.0 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.2%, drawdown -47.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -17.9%, Sharpe 0.60, 33% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -47.4%, exposure 56%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 6.2%, MDD -17.9%, exposure 33%).

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
Donchian 채널 돌파
entryN=110, exitN=22
6.2%-17.9%0.600.352.8x3633%
SMA 크로스오버
fast=76, slow=141
6.5%-47.4%0.430.142.9x2956%
Keltner 채널 돌파
emaPeriod=60, atrPeriod=20, mult=3.6
4.0%-19.6%0.430.201.9x3631%
EMA 크로스오버
fast=98, slow=154
6.2%-47.4%0.410.132.8x1561%
Supertrend
period=10, mult=4.9
5.0%-39.5%0.410.132.3x4255%
볼린저 밴드 돌파
n=30, k=3.5
1.8%-10.3%0.340.171.3x148%
ADX / DI 방향성
period=27, threshold=37
1.0%-11.8%0.250.081.2x21%
ROC 모멘텀
n=95, threshold=0.02
1.9%-42.5%0.200.041.4x14751%
MACD
fast=26, slow=35, signal=23
-0.7%-54.1%0.03-0.010.9x15853%
Parabolic SAR
step=0.005, maxStep=0.16
-0.7%-53.4%0.03-0.010.9x15255%
Buy and hold7.2%-47.4%0.410.153.2x1100%
1x 2010 2013 2016 2019 2022 2025 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -12% -24% -36% -47% 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -17.9% (2024-12-06 → 2025-09-08), recovered after 301 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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

Read next