Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Dollarama Inc. backtest
10 trend-following strategies were compared on the full daily history of Dollarama Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.7%, MDD -24.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.4%, drawdown -45.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.7%, MDD -24.9%, Sharpe 1.23, 86% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 25.1%, MDD -31.7%, exposure 92%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 20.3%p (CAGR 24.7%, MDD -24.9%, exposure 86%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=57, exitN=93 |
24.7% | -24.9% | 1.23 | 0.99 | 41.1x | 11 | 86% |
| SMA 크로스오버 fast=50, slow=207 |
23.3% | -23.0% | 1.20 | 1.01 | 33.7x | 12 | 83% |
| EMA 크로스오버 fast=65, slow=129 |
23.7% | -24.6% | 1.20 | 0.97 | 35.7x | 9 | 87% |
| ROC 모멘텀 n=66, threshold=-0.09 |
25.1% | -31.7% | 1.18 | 0.79 | 43.2x | 37 | 92% |
| ADX / DI 방향성 period=64, threshold=7 |
15.1% | -27.8% | 0.87 | 0.54 | 10.7x | 101 | 80% |
| Supertrend period=19, mult=2.6 |
13.4% | -39.5% | 0.79 | 0.34 | 8.3x | 132 | 66% |
| 볼린저 밴드 돌파 n=51, k=2.7 |
8.5% | -20.4% | 0.72 | 0.42 | 4.0x | 52 | 39% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.8% | -50.7% | 0.64 | 0.19 | 4.8x | 141 | 62% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=27, mult=3 |
7.6% | -28.9% | 0.62 | 0.26 | 3.4x | 68 | 43% |
| MACD fast=17, slow=32, signal=19 |
4.6% | -48.1% | 0.37 | 0.10 | 2.1x | 204 | 50% |
| Buy and hold | 27.4% | -45.2% | 1.17 | 0.61 | 58.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 57 days
- Sell — Sell when price breaks below the lowest low of the last 93 days