Trend-Following Backtester · Guide · backtest 한국어

equity · CA

OR Royalties Inc. backtest

10 trend-following strategies were compared on the full daily history of OR Royalties Inc.. 1 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 -45.7%).

Data 2014-12-05 ~ 2026-07-31daily bars 2,923 (11.7 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.2%, drawdown -60.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -45.7%, Sharpe 0.51, 49% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 15.1%p (CAGR 9.8%, MDD -45.7%, exposure 49%).

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
Donchian 채널 돌파
entryN=71, exitN=43
9.8%-45.7%0.510.213.0x2049%
Supertrend
period=14, mult=5
7.5%-44.6%0.410.172.3x3253%
ROC 모멘텀
n=110, threshold=-0.01
7.5%-39.0%0.410.192.3x8458%
SMA 크로스오버
fast=11, slow=204
7.2%-43.1%0.400.172.2x2654%
EMA 크로스오버
fast=34, slow=141
6.8%-48.9%0.380.142.1x2256%
ADX / DI 방향성
period=25, threshold=28
1.8%-16.2%0.290.111.2x84%
MACD
fast=22, slow=52, signal=23
2.1%-66.6%0.210.031.3x10047%
볼린저 밴드 돌파
n=25, k=3.1
1.0%-24.3%0.190.041.1x125%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=9, mult=1.9
1.4%-24.1%0.180.061.2x6016%
Parabolic SAR
step=0.015, maxStep=0.14
0.3%-57.2%0.140.011.0x20751%
Buy and hold9.2%-60.8%0.420.152.8x1100%
1x 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -30% -46% -61% 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -45.7% (2019-03-13 → 2020-06-12), recovered after 1,953 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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