Trend-Following Backtester · Guide · backtest 한국어
equity · CA
TELUS Corporation backtest
10 trend-following strategies were compared on the full daily history of TELUS Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -33.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.6%, drawdown -89.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -33.4%, Sharpe 0.51, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 56.2%p (CAGR 7.3%, MDD -33.4%, exposure 59%).
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=54, slow=192 |
7.3% | -33.4% | 0.51 | 0.22 | 9.3x | 34 | 59% |
| Donchian 채널 돌파 entryN=67, exitN=77 |
5.9% | -42.0% | 0.44 | 0.14 | 6.2x | 44 | 61% |
| EMA 크로스오버 fast=49, slow=147 |
5.9% | -39.9% | 0.43 | 0.15 | 6.2x | 38 | 61% |
| ROC 모멘텀 n=187, threshold=-0.08 |
3.7% | -69.6% | 0.29 | 0.05 | 3.1x | 148 | 74% |
| Supertrend period=25, mult=4.8 |
2.8% | -43.5% | 0.25 | 0.06 | 2.4x | 96 | 53% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
1.9% | -39.9% | 0.21 | 0.05 | 1.8x | 106 | 28% |
| ADX / DI 방향성 period=21, threshold=35 |
0.8% | -10.0% | 0.20 | 0.08 | 1.3x | 16 | 2% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=22, mult=4 |
0.6% | -14.6% | 0.14 | 0.04 | 1.2x | 22 | 4% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.4% | -78.4% | -0.13 | -0.04 | 0.3x | 269 | 53% |
| MACD fast=19, slow=54, signal=14 |
-5.5% | -88.3% | -0.25 | -0.06 | 0.2x | 377 | 50% |
| Buy and hold | 2.6% | -89.6% | 0.23 | 0.03 | 2.3x | 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 54-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 54-day average falls below the 192-day average