Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canaccord Genuity Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Canaccord Genuity Group Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -13.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.3%, drawdown -88.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.2%, MDD -47.4%, Sharpe 0.52, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 41.1%p (CAGR 0.7%, MDD -13.8%, exposure 1%).
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=86, atrPeriod=28, mult=1.2 |
10.2% | -47.4% | 0.52 | 0.21 | 7.2x | 93 | 41% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
9.9% | -44.7% | 0.52 | 0.22 | 6.9x | 108 | 38% |
| Donchian 채널 돌파 entryN=64, exitN=52 |
7.9% | -65.5% | 0.43 | 0.12 | 4.7x | 39 | 43% |
| Supertrend period=9, mult=4.5 |
7.6% | -66.6% | 0.41 | 0.11 | 4.5x | 71 | 45% |
| EMA 크로스오버 fast=18, slow=48 |
7.5% | -60.2% | 0.41 | 0.13 | 4.4x | 87 | 48% |
| SMA 크로스오버 fast=7, slow=85 |
7.4% | -57.4% | 0.41 | 0.13 | 4.3x | 97 | 47% |
| ROC 모멘텀 n=120, threshold=0.02 |
6.2% | -70.6% | 0.36 | 0.09 | 3.4x | 131 | 47% |
| MACD fast=19, slow=52, signal=19 |
3.7% | -71.6% | 0.27 | 0.05 | 2.1x | 192 | 52% |
| Parabolic SAR step=0.015, maxStep=0.36 |
3.6% | -65.0% | 0.27 | 0.06 | 2.1x | 340 | 52% |
| ADX / DI 방향성 period=36, threshold=34 |
0.7% | -13.8% | 0.22 | 0.05 | 1.2x | 4 | 1% |
| Buy and hold | -1.3% | -88.4% | 0.17 | -0.02 | 0.8x | 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 86-day average + 1.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 86-day average