Trend-Following Backtester · Guide · backtest 한국어
etf · CA
TD Q Canadian Dividend ETF Trust Units backtest
10 trend-following strategies were compared on the full daily history of TD Q Canadian Dividend ETF Trust Units. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.3%, MDD -14.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.0%, drawdown -46.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -14.2%, Sharpe 1.34, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 12.3%, MDD -14.2%, exposure 73%).
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=25, slow=160 |
12.3% | -14.2% | 1.34 | 0.87 | 2.2x | 11 | 73% |
| Donchian 채널 돌파 entryN=71, exitN=55 |
10.8% | -15.9% | 1.34 | 0.68 | 2.0x | 7 | 63% |
| 볼린저 밴드 돌파 n=76, k=2 |
7.9% | -8.4% | 1.25 | 0.93 | 1.7x | 13 | 45% |
| ROC 모멘텀 n=84, threshold=-0.03 |
11.3% | -23.6% | 1.14 | 0.48 | 2.1x | 31 | 82% |
| EMA 크로스오버 fast=38, slow=70 |
9.8% | -14.4% | 1.07 | 0.68 | 1.9x | 13 | 74% |
| ADX / DI 방향성 period=33, threshold=19 |
4.0% | -6.0% | 1.01 | 0.67 | 1.3x | 7 | 21% |
| Supertrend period=9, mult=1.8 |
6.7% | -13.5% | 0.70 | 0.50 | 1.6x | 115 | 67% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=13, mult=1.6 |
4.8% | -17.3% | 0.64 | 0.28 | 1.4x | 55 | 61% |
| Parabolic SAR step=0.015, maxStep=0.02 |
5.5% | -26.0% | 0.61 | 0.21 | 1.4x | 35 | 74% |
| MACD fast=13, slow=59, signal=14 |
0.8% | -18.4% | 0.14 | 0.04 | 1.1x | 84 | 52% |
| Buy and hold | 10.0% | -46.7% | 0.60 | 0.21 | 1.9x | 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 25-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 25-day average falls below the 160-day average