Trend-Following Backtester · Guide · backtest 한국어
equity · US
Canadian Solar Inc. backtest
10 trend-following strategies were compared on the full daily history of Canadian Solar Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -71.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.2%, drawdown -96.0%).
Sharpe leader (same as main): Supertrend — CAGR 16.3%, MDD -90.2%, Sharpe 0.55, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 5.8%p (CAGR 8.0%, MDD -71.2%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=3 |
16.3% | -90.2% | 0.55 | 0.18 | 19.8x | 130 | 44% |
| SMA 크로스오버 fast=40, slow=117 |
14.6% | -84.6% | 0.52 | 0.17 | 14.6x | 50 | 45% |
| ADX / DI 방향성 period=9, threshold=25 |
14.2% | -71.5% | 0.51 | 0.20 | 13.8x | 306 | 34% |
| Donchian 채널 돌파 entryN=116, exitN=55 |
12.8% | -80.7% | 0.49 | 0.16 | 10.8x | 24 | 35% |
| ROC 모멘텀 n=97, threshold=0.12 |
11.4% | -86.5% | 0.46 | 0.13 | 8.4x | 178 | 36% |
| Parabolic SAR step=0.01, maxStep=0.14 |
10.5% | -89.3% | 0.45 | 0.12 | 7.2x | 258 | 47% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
10.3% | -81.9% | 0.44 | 0.13 | 6.9x | 120 | 36% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=20, mult=2.9 |
8.0% | -71.2% | 0.39 | 0.11 | 4.5x | 58 | 25% |
| MACD fast=13, slow=70, signal=18 |
6.8% | -93.1% | 0.39 | 0.07 | 3.6x | 234 | 51% |
| EMA 크로스오버 fast=47, slow=122 |
4.3% | -91.2% | 0.33 | 0.05 | 2.3x | 36 | 40% |
| Buy and hold | -0.2% | -96.0% | 0.37 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)