Trend-Following Backtester · Guide · backtest 한국어
equity · CA
FirstService Corp backtest
10 trend-following strategies were compared on the full daily history of FirstService Corp. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.3%, drawdown -42.8%).
Sharpe leader (same as main): Supertrend — CAGR 16.5%, MDD -23.9%, Sharpe 0.91, 64% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.6 |
16.5% | -23.9% | 0.91 | 0.69 | 5.6x | 32 | 64% |
| Donchian 채널 돌파 entryN=31, exitN=28 |
12.6% | -28.2% | 0.74 | 0.45 | 3.8x | 37 | 62% |
| ROC 모멘텀 n=203, threshold=-0.04 |
12.8% | -30.2% | 0.71 | 0.42 | 3.9x | 20 | 75% |
| SMA 크로스오버 fast=29, slow=73 |
12.5% | -43.6% | 0.67 | 0.29 | 3.8x | 31 | 66% |
| EMA 크로스오버 fast=26, slow=70 |
10.7% | -29.8% | 0.61 | 0.36 | 3.1x | 29 | 69% |
| MACD fast=31, slow=34, signal=24 |
8.6% | -31.3% | 0.57 | 0.28 | 2.5x | 88 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=3 |
6.5% | -24.1% | 0.52 | 0.27 | 2.0x | 42 | 41% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
2.6% | -13.1% | 0.46 | 0.20 | 1.3x | 24 | 8% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.3% | -44.3% | 0.42 | 0.14 | 2.0x | 106 | 59% |
| ADX / DI 방향성 period=18, threshold=32 |
3.0% | -20.4% | 0.37 | 0.15 | 1.4x | 26 | 14% |
| Buy and hold | 24.3% | -42.8% | 0.69 | 0.57 | 11.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)