Trend-Following Backtester · Guide · backtest 한국어
equity · CA
AltaGas Ltd. backtest
10 trend-following strategies were compared on the full daily history of AltaGas Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.2%, MDD -38.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.7%, drawdown -82.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -38.4%, Sharpe 0.55, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 7.2%, MDD -38.4%, exposure 57%).
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=76, exitN=63 |
7.2% | -38.4% | 0.55 | 0.19 | 4.7x | 27 | 57% |
| EMA 크로스오버 fast=67, slow=81 |
5.6% | -54.0% | 0.42 | 0.10 | 3.4x | 29 | 62% |
| SMA 크로스오버 fast=55, slow=189 |
5.9% | -63.2% | 0.42 | 0.09 | 3.6x | 25 | 60% |
| ROC 모멘텀 n=128, threshold=-0.01 |
5.3% | -49.5% | 0.41 | 0.11 | 3.1x | 125 | 63% |
| Supertrend period=17, mult=4.9 |
5.1% | -54.0% | 0.41 | 0.09 | 3.0x | 55 | 61% |
| ADX / DI 방향성 period=39, threshold=25 |
0.8% | -9.5% | 0.25 | 0.09 | 1.2x | 8 | 4% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
1.8% | -23.4% | 0.24 | 0.08 | 1.5x | 58 | 27% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=3.2 |
1.6% | -29.7% | 0.23 | 0.06 | 1.4x | 60 | 23% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.0% | -73.4% | -0.04 | -0.03 | 0.6x | 292 | 56% |
| MACD fast=14, slow=56, signal=16 |
-4.8% | -78.7% | -0.22 | -0.06 | 0.3x | 290 | 50% |
| Buy and hold | 4.7% | -82.4% | 0.31 | 0.06 | 2.8x | 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 76 days
- Sell — Sell when price breaks below the lowest low of the last 63 days