Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Enbridge Inc. backtest
10 trend-following strategies were compared on the full daily history of Enbridge Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -48.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -49.8%, Sharpe 0.56, 68% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=68, slow=159 |
8.2% | -49.8% | 0.56 | 0.16 | 12.0x | 35 | 68% |
| Donchian 채널 돌파 entryN=58, exitN=98 |
7.3% | -31.5% | 0.52 | 0.23 | 9.3x | 36 | 74% |
| EMA 크로스오버 fast=51, slow=130 |
7.0% | -50.5% | 0.50 | 0.14 | 8.6x | 43 | 72% |
| Supertrend period=22, mult=5 |
4.5% | -37.3% | 0.37 | 0.12 | 4.0x | 88 | 64% |
| ROC 모멘텀 n=144, threshold=-0.02 |
3.6% | -64.5% | 0.30 | 0.06 | 3.1x | 201 | 74% |
| 볼린저 밴드 돌파 n=41, k=3.4 |
0.5% | -21.0% | 0.12 | 0.03 | 1.2x | 32 | 10% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=11, mult=2.3 |
0.8% | -49.3% | 0.12 | 0.02 | 1.3x | 152 | 47% |
| ADX / DI 방향성 period=29, threshold=20 |
0.4% | -32.3% | 0.09 | 0.01 | 1.1x | 72 | 16% |
| MACD fast=23, slow=49, signal=17 |
-3.3% | -80.5% | -0.16 | -0.04 | 0.3x | 354 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.2% | -86.0% | -0.21 | -0.05 | 0.3x | 300 | 59% |
| Buy and hold | 9.8% | -48.2% | 0.55 | 0.20 | 19.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 68-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 68-day average falls below the 159-day average