Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Bank of Montreal backtest
10 trend-following strategies were compared on the full daily history of Bank of Montreal. 0 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 8.6%, MDD -30.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -66.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -30.1%, Sharpe 0.64, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 36.2%p (CAGR 8.6%, MDD -30.1%, exposure 62%).
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=77, exitN=79 |
8.6% | -30.1% | 0.64 | 0.29 | 13.5x | 47 | 62% |
| SMA 크로스오버 fast=31, slow=98 |
8.1% | -37.4% | 0.59 | 0.22 | 11.7x | 73 | 63% |
| EMA 크로스오버 fast=52, slow=142 |
7.8% | -37.5% | 0.58 | 0.21 | 10.7x | 47 | 66% |
| Supertrend period=23, mult=5 |
4.6% | -45.1% | 0.37 | 0.10 | 4.1x | 111 | 63% |
| 볼린저 밴드 돌파 n=38, k=3.1 |
1.9% | -22.4% | 0.37 | 0.08 | 1.8x | 30 | 9% |
| ROC 모멘텀 n=116, threshold=-0.04 |
4.8% | -52.3% | 0.37 | 0.09 | 4.3x | 191 | 75% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=11, mult=3.9 |
2.2% | -31.2% | 0.32 | 0.07 | 2.0x | 67 | 18% |
| ADX / DI 방향성 period=34, threshold=15 |
2.5% | -39.1% | 0.29 | 0.06 | 2.2x | 171 | 29% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.6% | -82.7% | -0.10 | -0.03 | 0.4x | 292 | 57% |
| MACD fast=19, slow=56, signal=11 |
-3.5% | -83.3% | -0.16 | -0.04 | 0.3x | 434 | 51% |
| Buy and hold | 10.0% | -66.3% | 0.53 | 0.15 | 20.4x | 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 77 days
- Sell — Sell when price breaks below the lowest low of the last 79 days