Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Dollarama Inc. backtest
10 trend-following strategies were compared on the full daily history of Dollarama Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.9%, MDD -24.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.6%, drawdown -45.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.0%, MDD -27.6%, Sharpe 1.20, 86% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 24.3%, MDD -31.7%, exposure 93%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 17.6%p (CAGR 22.9%, MDD -24.6%, exposure 87%).
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=57, exitN=93 |
24.0% | -27.6% | 1.20 | 0.87 | 37.7x | 11 | 86% |
| EMA 크로스오버 fast=65, slow=129 |
22.9% | -24.6% | 1.17 | 0.93 | 32.8x | 9 | 87% |
| SMA 크로스오버 fast=50, slow=207 |
22.5% | -26.3% | 1.16 | 0.85 | 30.7x | 14 | 83% |
| ROC 모멘텀 n=66, threshold=-0.09 |
24.3% | -31.7% | 1.15 | 0.77 | 39.6x | 37 | 93% |
| ADX / DI 방향성 period=64, threshold=7 |
14.5% | -27.8% | 0.84 | 0.52 | 9.8x | 102 | 80% |
| Supertrend period=19, mult=2.6 |
13.4% | -39.5% | 0.79 | 0.34 | 8.3x | 132 | 66% |
| 볼린저 밴드 돌파 n=51, k=2.7 |
8.5% | -20.4% | 0.72 | 0.41 | 4.0x | 52 | 39% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=27, mult=3 |
7.5% | -28.9% | 0.62 | 0.26 | 3.4x | 68 | 43% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.4% | -50.7% | 0.62 | 0.19 | 4.6x | 142 | 62% |
| MACD fast=17, slow=32, signal=19 |
4.3% | -48.1% | 0.35 | 0.09 | 2.0x | 206 | 50% |
| Buy and hold | 26.6% | -45.2% | 1.15 | 0.59 | 53.6x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 93 days