Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Trican Well Service Ltd. backtest
10 trend-following strategies were compared on the full daily history of Trican Well Service Ltd.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 24.4%, MDD -49.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.0%, drawdown -98.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.4%, MDD -49.5%, Sharpe 0.85, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 24.4%, MDD -49.5%, exposure 58%).
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=29, slow=87 |
24.4% | -49.5% | 0.85 | 0.49 | 462.9x | 56 | 58% |
| SMA 크로스오버 fast=11, slow=113 |
22.9% | -59.6% | 0.82 | 0.38 | 330.3x | 72 | 57% |
| Donchian 채널 돌파 entryN=61, exitN=61 |
18.2% | -57.1% | 0.68 | 0.32 | 109.7x | 50 | 57% |
| ROC 모멘텀 n=76, threshold=0.03 |
16.2% | -68.0% | 0.64 | 0.24 | 68.3x | 282 | 53% |
| 볼린저 밴드 돌파 n=43, k=1.1 |
17.4% | -64.0% | 0.63 | 0.27 | 92.1x | 196 | 47% |
| Supertrend period=13, mult=4 |
17.4% | -58.6% | 0.62 | 0.30 | 91.4x | 124 | 54% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=1.1 |
14.4% | -67.1% | 0.60 | 0.21 | 44.4x | 208 | 49% |
| ADX / DI 방향성 period=26, threshold=16 |
11.0% | -58.0% | 0.47 | 0.19 | 18.7x | 200 | 35% |
| Parabolic SAR step=0.01, maxStep=0.3 |
8.1% | -88.9% | 0.38 | 0.09 | 8.9x | 366 | 52% |
| MACD fast=8, slow=32, signal=7 |
2.6% | -96.4% | 0.25 | 0.03 | 2.1x | 636 | 52% |
| Buy and hold | 7.0% | -98.8% | 0.39 | 0.07 | 6.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 29-day EMA crosses above the 87-day EMA
- Sell — Sell when the 29-day EMA falls below the 87-day EMA