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. 9 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 19.4%, MDD -54.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.1%, drawdown -93.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.1%, MDD -56.2%, Sharpe 0.68, 31% exposure.
CAGR reference leader: Parabolic SAR — CAGR 23.2%, MDD -65.6%, exposure 46%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 22.0%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 19.4%, 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 |
23.1% | -56.2% | 0.68 | 0.41 | 5.2x | 55 | 31% |
| Parabolic SAR step=0.02, maxStep=0.38 |
23.2% | -65.6% | 0.62 | 0.35 | 5.2x | 159 | 46% |
| MACD fast=14, slow=17, signal=7 |
22.1% | -67.3% | 0.61 | 0.33 | 4.9x | 151 | 52% |
| Donchian 채널 돌파 entryN=25, exitN=11 |
19.4% | -54.8% | 0.60 | 0.35 | 4.1x | 37 | 35% |
| 볼린저 밴드 돌파 n=12, k=1.1 |
16.5% | -70.2% | 0.53 | 0.23 | 3.4x | 153 | 36% |
| ROC 모멘텀 n=139, threshold=0.12 |
16.4% | -56.9% | 0.53 | 0.29 | 3.3x | 73 | 36% |
| SMA 크로스오버 fast=51, slow=209 |
15.2% | -77.4% | 0.52 | 0.20 | 3.1x | 9 | 43% |
| Supertrend period=33, mult=3.8 |
13.6% | -70.6% | 0.50 | 0.19 | 2.7x | 35 | 39% |
| EMA 크로스오버 fast=21, slow=29 |
7.8% | -84.9% | 0.41 | 0.09 | 1.8x | 41 | 42% |
| ADX / DI 방향성 period=12, threshold=20 |
-1.2% | -75.4% | 0.22 | -0.02 | 0.9x | 119 | 34% |
| Buy and hold | 1.1% | -93.9% | 0.41 | 0.01 | 1.1x | 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