Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canfor Corporation backtest
10 trend-following strategies were compared on the full daily history of Canfor Corporation. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.8%, MDD -35.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.7%, drawdown -81.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.6%, MDD -57.5%, Sharpe 0.31, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 2.8%, MDD -35.4%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=78, slow=270 |
4.6% | -57.5% | 0.31 | 0.08 | 4.1x | 23 | 42% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=20, mult=3.8 |
2.8% | -35.4% | 0.26 | 0.08 | 2.4x | 70 | 19% |
| Donchian 채널 돌파 entryN=85, exitN=6 |
2.4% | -42.3% | 0.24 | 0.06 | 2.1x | 133 | 17% |
| ROC 모멘텀 n=81, threshold=0.06 |
1.8% | -72.8% | 0.19 | 0.02 | 1.8x | 327 | 37% |
| SMA 크로스오버 fast=53, slow=129 |
1.6% | -74.2% | 0.19 | 0.02 | 1.7x | 63 | 49% |
| MACD fast=17, slow=43, signal=17 |
0.5% | -69.5% | 0.16 | 0.01 | 1.2x | 364 | 52% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
1.2% | -57.8% | 0.15 | 0.02 | 1.4x | 72 | 19% |
| ADX / DI 방향성 period=11, threshold=38 |
0.8% | -39.1% | 0.12 | 0.02 | 1.3x | 128 | 10% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-0.8% | -72.2% | 0.10 | -0.01 | 0.8x | 538 | 51% |
| Supertrend period=25, mult=2.4 |
-1.5% | -76.8% | 0.07 | -0.02 | 0.6x | 310 | 50% |
| Buy and hold | -0.7% | -81.8% | 0.18 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 78-day EMA crosses above the 270-day EMA
- Sell — Sell when the 78-day EMA falls below the 270-day EMA