Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Covered Call Utilities ETF backtest
10 trend-following strategies were compared on the full daily history of BMO Covered Call Utilities ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.5%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.9%, drawdown -43.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -0.5%, Sharpe 0.34, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 0.5%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=9, threshold=0.11 |
0.5% | -0.5% | 0.34 | 0.96 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=37, threshold=25 |
0.0% | -1.6% | 0.01 | 0.00 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=39, k=3.1 |
-0.0% | -4.6% | 0.00 | -0.00 | 1.0x | 6 | 3% |
| SMA 크로스오버 fast=55, slow=266 |
-0.7% | -37.7% | -0.02 | -0.02 | 0.9x | 15 | 49% |
| Donchian 채널 돌파 entryN=90, exitN=24 |
-0.3% | -14.5% | -0.06 | -0.02 | 1.0x | 32 | 25% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=3.1 |
-0.6% | -18.5% | -0.18 | -0.03 | 0.9x | 36 | 19% |
| EMA 크로스오버 fast=62, slow=211 |
-2.0% | -37.4% | -0.19 | -0.05 | 0.7x | 17 | 48% |
| Supertrend period=9, mult=5 |
-2.0% | -27.3% | -0.35 | -0.07 | 0.8x | 48 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-5.6% | -58.2% | -0.78 | -0.10 | 0.4x | 131 | 57% |
| MACD fast=15, slow=31, signal=9 |
-6.6% | -63.5% | -0.89 | -0.10 | 0.4x | 235 | 52% |
| Buy and hold | -1.9% | -43.0% | -0.08 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 9-day return is greater than 11%
- Sell — Sell when the 9-day return drops to 11% or below