Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Toromont Industries Ltd. backtest
10 trend-following strategies were compared on the full daily history of Toromont Industries Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -52.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -64.1%, Sharpe 0.43, 88% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=13, exitN=69 |
7.9% | -64.1% | 0.43 | 0.12 | 9.7x | 77 | 88% |
| EMA 크로스오버 fast=36, slow=45 |
6.2% | -49.9% | 0.40 | 0.12 | 6.1x | 107 | 66% |
| Supertrend period=25, mult=5 |
5.6% | -51.5% | 0.37 | 0.11 | 5.1x | 95 | 64% |
| SMA 크로스오버 fast=56, slow=135 |
5.0% | -48.9% | 0.34 | 0.10 | 4.3x | 55 | 68% |
| ADX / DI 방향성 period=28, threshold=38 |
1.1% | -6.8% | 0.33 | 0.16 | 1.4x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=10, mult=3.9 |
1.1% | -20.9% | 0.24 | 0.05 | 1.4x | 18 | 3% |
| MACD fast=29, slow=37, signal=29 |
2.4% | -64.6% | 0.22 | 0.04 | 2.1x | 256 | 50% |
| ROC 모멘텀 n=114, threshold=-0.04 |
2.1% | -66.2% | 0.21 | 0.03 | 1.9x | 231 | 78% |
| 볼린저 밴드 돌파 n=36, k=2.1 |
1.6% | -47.5% | 0.18 | 0.03 | 1.6x | 172 | 34% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.6% | -63.5% | 0.18 | 0.03 | 1.6x | 238 | 54% |
| Buy and hold | 14.1% | -52.5% | 0.62 | 0.27 | 51.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 13 days
- Sell — Sell when price breaks below the lowest low of the last 69 days