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Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Cardinal Energy Ltd. backtest

10 trend-following strategies were compared on the full daily history of Cardinal Energy Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.0%, MDD -19.8%).

Data 2014-01-07 ~ 2026-08-31daily bars 3,175 (12.6 years)Costs 0.5%Venue TSXMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR 0.2%, drawdown -98.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.5%, MDD -33.7%, Sharpe 0.89, 30% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.3%p higher than buy and hold, while drawdown improves by 64.6%p (CAGR 13.0%, MDD -19.8%, exposure 8%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=179, threshold=0.13
24.5%-33.7%0.890.7316.0x4730%
ADX / DI 방향성
period=27, threshold=30
13.0%-19.8%0.780.664.7x88%
볼린저 밴드 돌파
n=44, k=2.2
18.4%-41.1%0.720.458.5x4931%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=28, mult=1.8
16.8%-47.1%0.680.367.1x7532%
SMA 크로스오버
fast=9, slow=194
17.7%-52.2%0.670.347.8x3341%
Supertrend
period=18, mult=3.5
17.7%-66.0%0.650.277.8x6548%
Donchian 채널 돌파
entryN=22, exitN=10
13.9%-58.9%0.580.245.2x9137%
EMA 크로스오버
fast=47, slow=130
11.4%-71.0%0.510.163.9x2542%
MACD
fast=19, slow=73, signal=19
12.8%-65.8%0.510.194.6x11752%
Parabolic SAR
step=0.045, maxStep=0.22
6.4%-85.5%0.350.072.2x41550%
Buy and hold0.2%-98.3%0.270.001.0x1100%
0.1 1x 10x 2015 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -49% -74% -98% 2015 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -33.7% (2022-11-07 → 2025-09-08), recovered after 1,228 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CA assetsAll asset reports

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