Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Stantec Inc backtest
10 trend-following strategies were compared on the full daily history of Stantec Inc. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.6%, drawdown -58.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.9%, MDD -23.1%, Sharpe 0.77, 30% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -55.3%, exposure 63%.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=2.6 |
10.9% | -23.1% | 0.77 | 0.47 | 22.1x | 76 | 30% |
| Donchian 채널 돌파 entryN=25, exitN=31 |
12.0% | -55.3% | 0.64 | 0.22 | 29.7x | 100 | 63% |
| Supertrend period=16, mult=5 |
11.6% | -46.8% | 0.64 | 0.25 | 26.9x | 88 | 60% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3.5 |
9.0% | -30.7% | 0.63 | 0.29 | 13.3x | 84 | 34% |
| SMA 크로스오버 fast=33, slow=224 |
10.9% | -59.4% | 0.59 | 0.18 | 22.5x | 44 | 66% |
| EMA 크로스오버 fast=45, slow=85 |
10.8% | -62.9% | 0.58 | 0.17 | 21.8x | 62 | 68% |
| ROC 모멘텀 n=132, threshold=-0.02 |
8.3% | -64.0% | 0.47 | 0.13 | 10.9x | 206 | 71% |
| ADX / DI 방향성 period=28, threshold=19 |
5.2% | -37.0% | 0.42 | 0.14 | 4.6x | 174 | 30% |
| MACD fast=31, slow=70, signal=31 |
6.3% | -58.3% | 0.41 | 0.11 | 6.2x | 199 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
6.3% | -54.1% | 0.40 | 0.12 | 6.2x | 221 | 56% |
| Buy and hold | 18.6% | -58.1% | 0.73 | 0.32 | 165.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 46-day middle average