Trend-Following Backtester · Guide · backtest 한국어

equity · CA

North West Company Inc. backtest

10 trend-following strategies were compared on the full daily history of North West Company Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.

Data 2002-07-08 ~ 2026-07-31daily bars 6,045 (24.1 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 8.8%, drawdown -50.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.3%, MDD -42.7%, Sharpe 0.51, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 99%
n=9, threshold=-0.11
9.3%-42.7%0.510.228.4x2999%
EMA 크로스오버
fast=62, slow=219
3.9%-42.4%0.300.092.5x2771%
Donchian 채널 돌파
entryN=11, exitN=53
3.5%-41.9%0.270.082.3x8784%
SMA 크로스오버
fast=79, slow=183
2.4%-41.3%0.220.061.8x3665%
볼린저 밴드 돌파
n=14, k=3.2
0.4%-6.4%0.190.071.1x142%
ADX / DI 방향성
period=35, threshold=28
0.2%-8.4%0.120.021.0x21%
Supertrend
period=15, mult=4.6
-0.2%-52.0%0.08-0.001.0x8458%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=16, mult=3.1
0.1%-15.1%0.050.011.0x183%
Parabolic SAR
step=0.005, maxStep=0.3
-2.3%-66.8%-0.06-0.030.6x19751%
MACD
fast=17, slow=25, signal=18
-3.8%-72.8%-0.17-0.050.4x32749%
Buy and hold8.8%-50.3%0.470.187.6x1100%
1x 2003 2006 2009 2012 2015 2018 2021 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -13% -25% -38% -50% 2003 2006 2009 2012 2015 2018 2021 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -42.7% (2007-11-01 → 2008-10-07), recovered after 1,999 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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