Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Canadian Financial Monthly Income ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Canadian Financial Monthly Income ETF. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.3%, MDD -15.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.0%, drawdown -45.3%).
Sharpe leader (same as main): Supertrend — CAGR 4.2%, MDD -22.9%, Sharpe 0.68, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 3.3%, MDD -15.6%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=5 |
4.2% | -22.9% | 0.68 | 0.18 | 1.9x | 51 | 57% |
| 볼린저 밴드 돌파 n=77, k=2.3 |
2.3% | -12.2% | 0.65 | 0.19 | 1.4x | 21 | 22% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=37, mult=4 |
2.3% | -13.7% | 0.60 | 0.17 | 1.4x | 33 | 25% |
| SMA 크로스오버 fast=6, slow=347 |
3.6% | -18.3% | 0.59 | 0.20 | 1.7x | 25 | 55% |
| Donchian 채널 돌파 entryN=71, exitN=75 |
3.3% | -15.6% | 0.54 | 0.21 | 1.7x | 25 | 57% |
| EMA 크로스오버 fast=43, slow=216 |
2.7% | -30.4% | 0.42 | 0.09 | 1.5x | 19 | 57% |
| ADX / DI 방향성 period=22, threshold=24 |
1.2% | -8.8% | 0.39 | 0.13 | 1.2x | 47 | 16% |
| ROC 모멘텀 n=133, threshold=-0.05 |
2.1% | -31.2% | 0.29 | 0.07 | 1.4x | 47 | 75% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-1.4% | -35.1% | -0.14 | -0.04 | 0.8x | 196 | 58% |
| MACD fast=14, slow=39, signal=17 |
-2.6% | -46.7% | -0.31 | -0.06 | 0.7x | 212 | 49% |
| Buy and hold | 3.0% | -45.3% | 0.29 | 0.07 | 1.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)