Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Royal Bank of Canada backtest
10 trend-following strategies were compared on the full daily history of Royal Bank of Canada. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -35.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.6%, drawdown -57.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -35.3%, Sharpe 0.70, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 22.1%p (CAGR 9.6%, MDD -35.3%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=173 |
9.6% | -35.3% | 0.70 | 0.27 | 18.2x | 31 | 72% |
| SMA 크로스오버 fast=35, slow=230 |
9.2% | -33.4% | 0.68 | 0.28 | 16.1x | 37 | 70% |
| Donchian 채널 돌파 entryN=58, exitN=95 |
8.1% | -38.1% | 0.58 | 0.21 | 11.8x | 43 | 76% |
| 볼린저 밴드 돌파 n=76, k=1.5 |
5.3% | -37.2% | 0.48 | 0.14 | 5.2x | 129 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=2.4 |
4.9% | -45.6% | 0.47 | 0.11 | 4.6x | 144 | 48% |
| Supertrend period=10, mult=4.1 |
5.7% | -43.7% | 0.47 | 0.13 | 5.7x | 140 | 58% |
| ADX / DI 방향성 period=39, threshold=12 |
4.4% | -33.0% | 0.44 | 0.13 | 3.9x | 196 | 40% |
| ROC 모멘텀 n=149, threshold=0.02 |
4.3% | -45.6% | 0.38 | 0.09 | 3.8x | 259 | 63% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.8% | -67.7% | 0.13 | 0.01 | 1.3x | 294 | 59% |
| MACD fast=19, slow=51, signal=13 |
-0.8% | -72.0% | 0.01 | -0.01 | 0.8x | 402 | 50% |
| Buy and hold | 12.6% | -57.4% | 0.66 | 0.22 | 43.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 173-day EMA
- Sell — Sell when the 59-day EMA falls below the 173-day EMA