Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canadian Imperial Bank of Commerce backtest
10 trend-following strategies were compared on the full daily history of Canadian Imperial Bank of Commerce. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.7%, MDD -37.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -65.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.7%, MDD -37.5%, Sharpe 0.67, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 27.7%p (CAGR 9.7%, MDD -37.5%, exposure 65%).
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=27, slow=119 |
9.7% | -37.5% | 0.67 | 0.26 | 18.7x | 59 | 65% |
| SMA 크로스오버 fast=10, slow=152 |
8.7% | -42.9% | 0.61 | 0.20 | 13.9x | 75 | 64% |
| ROC 모멘텀 n=171, threshold=0.01 |
8.2% | -46.6% | 0.59 | 0.18 | 12.0x | 147 | 64% |
| Donchian 채널 돌파 entryN=104, exitN=62 |
7.9% | -37.7% | 0.59 | 0.21 | 11.1x | 47 | 55% |
| Supertrend period=13, mult=4.2 |
8.2% | -30.1% | 0.59 | 0.27 | 12.0x | 128 | 59% |
| 볼린저 밴드 돌파 n=76, k=1.4 |
5.0% | -59.2% | 0.44 | 0.08 | 4.7x | 118 | 48% |
| ADX / DI 방향성 period=38, threshold=23 |
1.8% | -16.3% | 0.41 | 0.11 | 1.7x | 28 | 9% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=1.8 |
3.5% | -52.9% | 0.33 | 0.07 | 2.9x | 196 | 47% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.4% | -53.9% | 0.29 | 0.06 | 2.9x | 276 | 57% |
| MACD fast=13, slow=25, signal=18 |
0.1% | -66.1% | 0.08 | 0.00 | 1.0x | 438 | 49% |
| Buy and hold | 9.9% | -65.2% | 0.51 | 0.15 | 19.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 119-day EMA
- Sell — Sell when the 27-day EMA falls below the 119-day EMA