Trend-Following Backtester · Guide · backtest 한국어
equity · CA
National Bank of Canada backtest
10 trend-following strategies were compared on the full daily history of National Bank of Canada. 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 9.8%, MDD -24.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -61.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -24.8%, Sharpe 0.75, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 36.7%p (CAGR 9.8%, MDD -24.8%, exposure 57%).
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=102, exitN=64 |
9.8% | -24.8% | 0.75 | 0.40 | 19.3x | 45 | 57% |
| EMA 크로스오버 fast=29, slow=169 |
9.6% | -33.1% | 0.66 | 0.29 | 18.0x | 49 | 72% |
| SMA 크로스오버 fast=10, slow=101 |
8.5% | -34.2% | 0.61 | 0.25 | 13.3x | 105 | 66% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=12, mult=2 |
7.2% | -33.2% | 0.60 | 0.22 | 9.1x | 151 | 52% |
| ADX / DI 방향성 period=50, threshold=8 |
7.5% | -31.7% | 0.58 | 0.24 | 9.9x | 251 | 56% |
| Supertrend period=10, mult=4.4 |
6.7% | -34.2% | 0.52 | 0.20 | 7.8x | 125 | 59% |
| ROC 모멘텀 n=60, threshold=-0.04 |
7.6% | -55.5% | 0.52 | 0.14 | 10.0x | 243 | 79% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
5.8% | -35.6% | 0.47 | 0.16 | 6.0x | 195 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.2% | -63.2% | 0.28 | 0.05 | 2.7x | 282 | 59% |
| MACD fast=18, slow=58, signal=17 |
1.7% | -63.7% | 0.19 | 0.03 | 1.7x | 362 | 51% |
| Buy and hold | 13.1% | -61.5% | 0.64 | 0.21 | 48.8x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 64 days