Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Keyera Corp. backtest
10 trend-following strategies were compared on the full daily history of Keyera Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -60.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -79.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -60.3%, Sharpe 0.53, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 9.6%, MDD -60.3%, 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=16, exitN=73 |
9.6% | -60.3% | 0.53 | 0.16 | 8.0x | 43 | 87% |
| Supertrend period=20, mult=4.8 |
7.0% | -60.9% | 0.48 | 0.12 | 4.7x | 65 | 64% |
| 볼린저 밴드 돌파 n=65, k=1.7 |
4.0% | -50.7% | 0.36 | 0.08 | 2.5x | 93 | 47% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=2.3 |
3.5% | -53.2% | 0.33 | 0.07 | 2.2x | 101 | 45% |
| SMA 크로스오버 fast=13, slow=73 |
4.1% | -72.5% | 0.32 | 0.06 | 2.5x | 111 | 63% |
| ROC 모멘텀 n=129, threshold=-0.03 |
4.3% | -70.9% | 0.32 | 0.06 | 2.6x | 171 | 71% |
| EMA 크로스오버 fast=44, slow=237 |
3.8% | -76.6% | 0.29 | 0.05 | 2.3x | 37 | 67% |
| ADX / DI 방향성 period=36, threshold=22 |
1.4% | -24.7% | 0.24 | 0.06 | 1.4x | 36 | 11% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.9% | -53.3% | 0.19 | 0.04 | 1.5x | 183 | 58% |
| MACD fast=15, slow=25, signal=11 |
-3.2% | -77.0% | -0.09 | -0.04 | 0.5x | 429 | 51% |
| Buy and hold | 10.9% | -79.0% | 0.51 | 0.14 | 10.5x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 73 days