Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Extendicare Inc. backtest
10 trend-following strategies were compared on the full daily history of Extendicare Inc.. 3 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 11.0%, MDD -31.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.1%, drawdown -53.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -31.3%, Sharpe 0.71, 39% exposure.
CAGR reference leader: Supertrend — CAGR 11.0%, MDD -35.9%, exposure 48%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 11.0%, MDD -31.3%, exposure 39%).
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=50, exitN=19 |
11.0% | -31.3% | 0.71 | 0.35 | 4.3x | 44 | 39% |
| ADX / DI 방향성 period=39, threshold=18 |
7.8% | -16.8% | 0.70 | 0.46 | 2.8x | 24 | 19% |
| Supertrend period=8, mult=4.8 |
11.0% | -35.9% | 0.66 | 0.31 | 4.3x | 38 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=1.5 |
10.2% | -33.9% | 0.64 | 0.30 | 3.8x | 70 | 43% |
| 볼린저 밴드 돌파 n=44, k=2 |
9.6% | -32.1% | 0.63 | 0.30 | 3.6x | 60 | 38% |
| SMA 크로스오버 fast=46, slow=179 |
9.9% | -43.0% | 0.61 | 0.23 | 3.7x | 17 | 55% |
| ROC 모멘텀 n=170, threshold=0.06 |
8.7% | -40.6% | 0.57 | 0.22 | 3.2x | 79 | 45% |
| EMA 크로스오버 fast=32, slow=195 |
9.1% | -41.7% | 0.56 | 0.22 | 3.3x | 19 | 55% |
| Parabolic SAR step=0.01, maxStep=0.06 |
7.2% | -49.2% | 0.45 | 0.15 | 2.6x | 150 | 56% |
| MACD fast=20, slow=41, signal=23 |
4.6% | -50.1% | 0.34 | 0.09 | 1.9x | 122 | 51% |
| Buy and hold | 10.1% | -53.2% | 0.49 | 0.19 | 3.8x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 19 days