Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trulieve Cannabis Corp. Subordinate Voting Shares backtest
10 trend-following strategies were compared on the full daily history of Trulieve Cannabis Corp. Subordinate Voting Shares. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.9%, MDD -54.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -93.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.7%, MDD -56.2%, Sharpe 0.63, 31% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 23.2%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 16.9%, MDD -54.8%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=11, mult=1.2 |
20.7% | -56.2% | 0.63 | 0.37 | 4.4x | 54 | 31% |
| Parabolic SAR step=0.02, maxStep=0.38 |
19.8% | -65.6% | 0.58 | 0.30 | 4.1x | 158 | 46% |
| Donchian 채널 돌파 entryN=25, exitN=11 |
16.9% | -54.8% | 0.56 | 0.31 | 3.4x | 36 | 35% |
| MACD fast=14, slow=17, signal=7 |
18.1% | -67.3% | 0.56 | 0.27 | 3.7x | 150 | 51% |
| 볼린저 밴드 돌파 n=12, k=1.1 |
14.1% | -70.2% | 0.49 | 0.20 | 2.8x | 150 | 35% |
| Supertrend period=33, mult=3.8 |
13.3% | -70.6% | 0.49 | 0.19 | 2.7x | 34 | 39% |
| ROC 모멘텀 n=139, threshold=0.12 |
13.4% | -56.8% | 0.48 | 0.24 | 2.7x | 70 | 36% |
| SMA 크로스오버 fast=51, slow=209 |
11.3% | -77.4% | 0.46 | 0.15 | 2.3x | 9 | 42% |
| EMA 크로스오버 fast=21, slow=29 |
5.6% | -84.9% | 0.37 | 0.07 | 1.5x | 40 | 42% |
| ADX / DI 방향성 period=12, threshold=20 |
-1.6% | -75.4% | 0.21 | -0.02 | 0.9x | 118 | 34% |
| Buy and hold | -2.5% | -93.9% | 0.36 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 25-day average + 1.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average