Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Canoe EIT Income Fund backtest
10 trend-following strategies were compared on the full daily history of Canoe EIT Income Fund. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -9.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.7%, drawdown -80.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.0%, MDD -14.0%, Sharpe 0.40, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 66.3%p (CAGR 0.1%, MDD -9.2%, exposure 4%).
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=190, exitN=35 |
2.0% | -14.0% | 0.40 | 0.15 | 1.6x | 23 | 24% |
| ROC 모멘텀 n=169, threshold=0.19 |
0.6% | -12.5% | 0.19 | 0.05 | 1.1x | 46 | 8% |
| SMA 크로스오버 fast=57, slow=212 |
1.3% | -47.9% | 0.18 | 0.03 | 1.3x | 27 | 49% |
| EMA 크로스오버 fast=22, slow=58 |
1.2% | -31.3% | 0.18 | 0.04 | 1.3x | 77 | 58% |
| 볼린저 밴드 돌파 n=40, k=3.2 |
0.1% | -9.2% | 0.07 | 0.01 | 1.0x | 12 | 4% |
| Supertrend period=28, mult=3.6 |
-0.0% | -53.5% | 0.05 | -0.00 | 1.0x | 123 | 65% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=17, mult=1.7 |
0.0% | -34.1% | 0.04 | 0.00 | 1.0x | 109 | 45% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-1.8% | -52.1% | -0.11 | -0.03 | 0.7x | 277 | 58% |
| MACD fast=12, slow=55, signal=30 |
-2.8% | -60.4% | -0.21 | -0.05 | 0.5x | 229 | 51% |
| ADX / DI 방향성 period=38, threshold=26 |
-0.5% | -16.5% | -0.27 | -0.03 | 0.9x | 12 | 3% |
| Buy and hold | -0.7% | -80.4% | 0.06 | -0.01 | 0.8x | 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 190 days
- Sell — Sell when price breaks below the lowest low of the last 35 days