Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Equal Weight Oil & Gas Index ETF CAD Units Trust Units backtest
10 trend-following strategies were compared on the full daily history of BMO Equal Weight Oil & Gas Index ETF CAD Units Trust Units. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -22.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.1%, drawdown -81.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -25.3%, Sharpe 0.59, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 56.2%p (CAGR 3.1%, MDD -22.0%, exposure 21%).
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=146, exitN=55 |
6.1% | -25.3% | 0.59 | 0.24 | 2.6x | 13 | 34% |
| SMA 크로스오버 fast=61, slow=289 |
4.7% | -29.0% | 0.39 | 0.16 | 2.1x | 17 | 51% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
3.1% | -22.0% | 0.38 | 0.14 | 1.6x | 28 | 21% |
| EMA 크로스오버 fast=27, slow=133 |
3.4% | -43.3% | 0.30 | 0.08 | 1.7x | 33 | 56% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.11 |
4.4% | -66.0% | 0.30 | 0.07 | 2.0x | 33 | 99% |
| ADX / DI 방향성 period=40, threshold=20 |
1.0% | -11.7% | 0.22 | 0.08 | 1.2x | 16 | 7% |
| Supertrend period=20, mult=3.5 |
1.5% | -50.2% | 0.18 | 0.03 | 1.3x | 130 | 56% |
| Parabolic SAR step=0.02, maxStep=0.02 |
1.5% | -50.4% | 0.17 | 0.03 | 1.3x | 92 | 55% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=1.2 |
0.3% | -53.6% | 0.09 | 0.01 | 1.1x | 160 | 46% |
| MACD fast=16, slow=25, signal=10 |
-1.8% | -73.5% | -0.03 | -0.03 | 0.7x | 270 | 50% |
| Buy and hold | 2.1% | -81.5% | 0.21 | 0.03 | 1.4x | 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 146 days
- Sell — Sell when price breaks below the lowest low of the last 55 days