Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Cogeco Communications Inc. backtest
10 trend-following strategies were compared on the full daily history of Cogeco Communications Inc.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -23.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.8%, drawdown -85.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.0%, MDD -23.7%, Sharpe 0.58, 23% exposure.
CAGR reference leader: MACD — CAGR 7.2%, MDD -51.3%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 62.0%p (CAGR 7.0%, MDD -23.7%, exposure 23%).
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=39, atrPeriod=23, mult=3.8 |
7.0% | -23.7% | 0.58 | 0.29 | 7.5x | 70 | 23% |
| Donchian 채널 돌파 entryN=112, exitN=9 |
6.1% | -31.5% | 0.55 | 0.19 | 6.0x | 108 | 22% |
| MACD fast=29, slow=57, signal=20 |
7.2% | -51.3% | 0.45 | 0.14 | 8.1x | 218 | 51% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
4.6% | -33.8% | 0.45 | 0.14 | 3.9x | 64 | 16% |
| EMA 크로스오버 fast=15, slow=191 |
6.8% | -47.5% | 0.42 | 0.14 | 7.1x | 52 | 56% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.2% | -55.4% | 0.39 | 0.11 | 6.0x | 242 | 54% |
| ROC 모멘텀 n=113, threshold=0.04 |
5.8% | -48.0% | 0.39 | 0.12 | 5.4x | 188 | 47% |
| SMA 크로스오버 fast=24, slow=164 |
5.7% | -52.5% | 0.37 | 0.11 | 5.2x | 58 | 53% |
| Supertrend period=22, mult=3.8 |
5.4% | -55.2% | 0.35 | 0.10 | 4.8x | 146 | 54% |
| ADX / DI 방향성 period=26, threshold=30 |
2.6% | -15.1% | 0.33 | 0.17 | 2.2x | 42 | 10% |
| Buy and hold | 6.8% | -85.6% | 0.37 | 0.08 | 7.2x | 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 39-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 39-day average