Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Laurentian Bank of Canada backtest
10 trend-following strategies were compared on the full daily history of Laurentian Bank of Canada. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.7%, MDD -39.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -60.2%).
Sharpe leader (same as main): Supertrend — CAGR 4.0%, MDD -46.3%, Sharpe 0.32, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 3.7%, MDD -39.8%, exposure 51%).
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=12, mult=4.7 |
4.0% | -46.3% | 0.32 | 0.09 | 3.5x | 118 | 52% |
| Donchian 채널 돌파 entryN=60, exitN=50 |
3.7% | -39.8% | 0.31 | 0.09 | 3.2x | 66 | 51% |
| SMA 크로스오버 fast=18, slow=84 |
2.6% | -55.9% | 0.24 | 0.05 | 2.3x | 126 | 53% |
| 볼린저 밴드 돌파 n=25, k=2.6 |
1.8% | -34.8% | 0.23 | 0.05 | 1.7x | 132 | 19% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=26, mult=3.3 |
1.1% | -25.2% | 0.19 | 0.04 | 1.4x | 70 | 10% |
| MACD fast=13, slow=71, signal=25 |
1.0% | -73.4% | 0.14 | 0.01 | 1.4x | 286 | 50% |
| EMA 크로스오버 fast=25, slow=127 |
1.0% | -68.6% | 0.14 | 0.01 | 1.4x | 89 | 54% |
| ADX / DI 방향성 period=33, threshold=36 |
0.2% | -9.9% | 0.09 | 0.02 | 1.1x | 10 | 3% |
| ROC 모멘텀 n=88, threshold=0.2 |
0.0% | -38.7% | 0.04 | 0.00 | 1.0x | 120 | 10% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.9% | -77.1% | -0.03 | -0.02 | 0.5x | 238 | 51% |
| Buy and hold | 3.1% | -60.2% | 0.25 | 0.05 | 2.6x | 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) — 12-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)