Trend-Following Backtester · Guide · backtest 한국어
equity · CA
StorageVault Canada Inc. backtest
10 trend-following strategies were compared on the full daily history of StorageVault Canada Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -76.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -65.3%, Sharpe 0.51, 67% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=60, slow=203 |
13.8% | -65.3% | 0.51 | 0.21 | 10.4x | 24 | 67% |
| EMA 크로스오버 fast=58, slow=202 |
7.6% | -75.1% | 0.42 | 0.10 | 3.8x | 26 | 69% |
| Donchian 채널 돌파 entryN=31, exitN=187 |
-8.8% | -97.6% | 0.35 | -0.09 | 0.2x | 31 | 89% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-17.5% | -99.0% | 0.15 | -0.18 | 0.0x | 114 | 58% |
| ADX / DI 방향성 period=39, threshold=21 |
-2.7% | -89.2% | 0.11 | -0.03 | 0.6x | 34 | 22% |
| ROC 모멘텀 n=131, threshold=-0.04 |
-19.1% | -99.6% | 0.00 | -0.19 | 0.0x | 172 | 68% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
-6.7% | -87.8% | -0.07 | -0.08 | 0.3x | 38 | 17% |
| MACD fast=17, slow=46, signal=23 |
-28.8% | -99.8% | -0.08 | -0.29 | 0.0x | 214 | 49% |
| Supertrend period=9, mult=4.4 |
-44.4% | -100.0% | -0.42 | -0.44 | 0.0x | 152 | 59% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=24, mult=2.9 |
-33.2% | -100.0% | -0.53 | -0.33 | 0.0x | 108 | 42% |
| Buy and hold | 18.5% | -76.0% | 0.64 | 0.24 | 21.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 60-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 60-day average falls below the 203-day average