Trend-Following Backtester · Guide · backtest 한국어
equity · CA
TransAlta Corporation backtest
10 trend-following strategies were compared on the full daily history of TransAlta Corporation. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -23.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.8%, drawdown -90.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.4%, MDD -47.1%, Sharpe 0.26, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 1.1%, MDD -23.8%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=13, mult=3.5 |
2.4% | -47.1% | 0.26 | 0.05 | 2.1x | 60 | 17% |
| ADX / DI 방향성 period=20, threshold=33 |
1.1% | -23.8% | 0.19 | 0.05 | 1.4x | 38 | 6% |
| Donchian 채널 돌파 entryN=77, exitN=13 |
1.5% | -52.2% | 0.18 | 0.03 | 1.6x | 106 | 22% |
| SMA 크로스오버 fast=28, slow=113 |
1.0% | -78.5% | 0.15 | 0.01 | 1.4x | 85 | 51% |
| 볼린저 밴드 돌파 n=62, k=2.7 |
0.8% | -56.7% | 0.13 | 0.01 | 1.3x | 48 | 17% |
| MACD fast=29, slow=49, signal=23 |
-0.1% | -85.4% | 0.09 | -0.00 | 1.0x | 254 | 52% |
| Supertrend period=32, mult=2.5 |
-0.2% | -79.9% | 0.08 | -0.00 | 0.9x | 268 | 54% |
| EMA 크로스오버 fast=24, slow=217 |
-0.8% | -77.0% | 0.06 | -0.01 | 0.8x | 59 | 51% |
| ROC 모멘텀 n=95, threshold=0.13 |
-1.2% | -66.9% | -0.02 | -0.02 | 0.7x | 188 | 19% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.3% | -88.4% | -0.08 | -0.04 | 0.3x | 262 | 52% |
| Buy and hold | 0.8% | -90.0% | 0.17 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 48-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 48-day average