Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canadian National Railway Company backtest
10 trend-following strategies were compared on the full daily history of Canadian National Railway Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.2%, drawdown -38.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -46.2%, Sharpe 0.52, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=168 |
8.4% | -46.2% | 0.52 | 0.18 | 10.9x | 41 | 69% |
| Donchian 채널 돌파 entryN=87, exitN=62 |
7.0% | -36.4% | 0.49 | 0.19 | 7.5x | 43 | 59% |
| EMA 크로스오버 fast=52, slow=106 |
6.5% | -45.4% | 0.43 | 0.14 | 6.5x | 51 | 72% |
| ROC 모멘텀 n=131, threshold=-0.04 |
4.1% | -61.9% | 0.31 | 0.07 | 3.3x | 217 | 79% |
| Supertrend period=14, mult=3.9 |
3.3% | -51.0% | 0.27 | 0.06 | 2.6x | 141 | 61% |
| ADX / DI 방향성 period=33, threshold=19 |
1.6% | -29.0% | 0.22 | 0.06 | 1.6x | 76 | 19% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=4 |
1.7% | -34.0% | 0.22 | 0.05 | 1.6x | 61 | 23% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
1.6% | -40.5% | 0.19 | 0.04 | 1.6x | 106 | 35% |
| MACD fast=15, slow=37, signal=15 |
-0.3% | -66.7% | 0.06 | -0.00 | 0.9x | 426 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.8% | -76.5% | 0.04 | -0.01 | 0.8x | 280 | 56% |
| Buy and hold | 13.2% | -38.3% | 0.63 | 0.35 | 40.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 54-day average falls below the 168-day average