Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Hamilton Enhanced Canadian Covered Call ETF Trust Units -E- backtest
10 trend-following strategies were compared on the full daily history of Hamilton Enhanced Canadian Covered Call ETF Trust Units -E-. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -15.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -25.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -15.2%, Sharpe 0.73, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 10.0%p (CAGR 7.5%, MDD -15.2%, exposure 61%).
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=55, slow=105 |
7.5% | -15.2% | 0.73 | 0.49 | 1.4x | 9 | 61% |
| ROC 모멘텀 n=88, threshold=-0.08 |
6.0% | -24.8% | 0.51 | 0.24 | 1.3x | 13 | 85% |
| EMA 크로스오버 fast=31, slow=94 |
4.7% | -26.1% | 0.48 | 0.18 | 1.3x | 11 | 65% |
| Keltner 채널 돌파 emaPeriod=101, atrPeriod=41, mult=1.1 |
2.8% | -21.1% | 0.35 | 0.13 | 1.2x | 25 | 59% |
| Donchian 채널 돌파 entryN=49, exitN=92 |
3.0% | -21.7% | 0.32 | 0.14 | 1.2x | 9 | 73% |
| ADX / DI 방향성 period=26, threshold=23 |
0.4% | -2.6% | 0.22 | 0.16 | 1.0x | 2 | 2% |
| Supertrend period=21, mult=1.6 |
-0.8% | -17.6% | -0.02 | -0.05 | 1.0x | 96 | 64% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-1.6% | -23.2% | -0.11 | -0.07 | 0.9x | 73 | 60% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
-0.2% | -3.0% | -0.12 | -0.06 | 1.0x | 2 | 1% |
| MACD fast=17, slow=37, signal=10 |
-3.9% | -31.3% | -0.37 | -0.12 | 0.8x | 77 | 50% |
| Buy and hold | 7.5% | -25.2% | 0.54 | 0.30 | 1.4x | 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 55-day average price crosses above the 105-day average
- Sell — Sell (to cash) when the 55-day average falls below the 105-day average