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 10.0%, MDD -59.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.4%, drawdown -75.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, 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 10.0%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=45, exitN=51 |
10.0% | -59.9% | 0.48 | 0.17 | 18.5x | 67 | 59% |
| 볼린저 밴드 돌파 n=74, k=1.7 |
7.1% | -45.8% | 0.42 | 0.15 | 8.0x | 102 | 36% |
| SMA 크로스오버 fast=12, slow=131 |
7.6% | -53.9% | 0.41 | 0.14 | 9.3x | 104 | 52% |
| EMA 크로스오버 fast=35, slow=56 |
7.4% | -63.7% | 0.40 | 0.12 | 8.8x | 92 | 52% |
| Supertrend period=28, mult=4.9 |
6.4% | -72.3% | 0.36 | 0.09 | 6.7x | 102 | 54% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=14, mult=3.1 |
4.3% | -41.8% | 0.33 | 0.10 | 3.6x | 102 | 22% |
| MACD fast=24, slow=59, signal=19 |
4.9% | -69.3% | 0.31 | 0.07 | 4.3x | 260 | 52% |
| Parabolic SAR step=0.01, maxStep=0.32 |
4.7% | -58.6% | 0.30 | 0.08 | 4.1x | 346 | 52% |
| ADX / DI 방향성 period=31, threshold=26 |
2.6% | -40.6% | 0.28 | 0.06 | 2.2x | 48 | 10% |
| ROC 모멘텀 n=34, threshold=0.08 |
0.9% | -74.6% | 0.15 | 0.01 | 1.3x | 416 | 29% |
| Buy and hold | 9.4% | -75.2% | 0.42 | 0.12 | 15.4x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 51 days