Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canadian Utilities Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Canadian Utilities Limited Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -42.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.5%, MDD -36.7%, Sharpe 0.31, 60% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=78, exitN=77 |
3.5% | -36.7% | 0.31 | 0.09 | 2.4x | 37 | 60% |
| SMA 크로스오버 fast=24, slow=170 |
3.4% | -46.8% | 0.31 | 0.07 | 2.4x | 51 | 59% |
| ADX / DI 방향성 period=60, threshold=25 |
1.2% | -11.3% | 0.30 | 0.11 | 1.4x | 4 | 3% |
| EMA 크로스오버 fast=58, slow=113 |
3.2% | -44.9% | 0.29 | 0.07 | 2.3x | 35 | 63% |
| Supertrend period=14, mult=5 |
2.8% | -36.7% | 0.27 | 0.08 | 2.1x | 64 | 60% |
| 볼린저 밴드 돌파 n=65, k=3.3 |
1.0% | -23.6% | 0.19 | 0.04 | 1.3x | 16 | 10% |
| ROC 모멘텀 n=138, threshold=-0.02 |
1.0% | -45.2% | 0.14 | 0.02 | 1.3x | 187 | 66% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=28, mult=2.8 |
-1.4% | -53.8% | -0.10 | -0.03 | 0.7x | 100 | 28% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.9% | -68.3% | -0.13 | -0.04 | 0.5x | 230 | 54% |
| MACD fast=12, slow=45, signal=18 |
-6.4% | -87.0% | -0.39 | -0.07 | 0.2x | 370 | 51% |
| Buy and hold | 6.4% | -42.0% | 0.40 | 0.15 | 5.1x | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 77 days