Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Aecon Group Inc. backtest

10 trend-following strategies were compared on the full daily history of Aecon Group Inc.. 1 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 10.2%, MDD -59.9%).

Data 1996-03-11 ~ 2026-07-31daily bars 7,637 (30.4 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.6%, drawdown -75.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -59.9%, Sharpe 0.48, 59% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 10.2%, MDD -59.9%, exposure 59%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=45, exitN=51
10.2%-59.9%0.480.1719.2x6759%
SMA 크로스오버
fast=12, slow=131
7.8%-53.9%0.420.159.8x10352%
볼린저 밴드 돌파
n=74, k=1.7
7.1%-45.8%0.420.158.0x10236%
EMA 크로스오버
fast=35, slow=56
7.6%-63.7%0.410.129.3x9152%
Supertrend
period=28, mult=4.9
6.6%-72.3%0.370.097.0x10154%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=14, mult=3.1
4.3%-41.8%0.330.103.6x10222%
MACD
fast=24, slow=59, signal=19
4.9%-69.3%0.310.074.3x26052%
Parabolic SAR
step=0.01, maxStep=0.32
4.7%-58.6%0.300.084.1x34653%
ADX / DI 방향성
period=31, threshold=26
2.6%-40.6%0.280.062.2x4810%
ROC 모멘텀
n=34, threshold=0.08
1.1%-74.6%0.160.021.4x41229%
Buy and hold9.6%-75.2%0.430.1316.1x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -56% -75% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -59.9% (2007-12-31 → 2009-03-09), recovered after 2,999 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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