Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Franco-Nevada Corporation backtest
10 trend-following strategies were compared on the full daily history of Franco-Nevada Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.4%, drawdown -47.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -47.4%, Sharpe 0.57, 80% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=50 |
13.6% | -47.4% | 0.57 | 0.29 | 11.0x | 59 | 80% |
| ROC 모멘텀 n=87, threshold=-0.14 |
12.0% | -47.6% | 0.52 | 0.25 | 8.4x | 75 | 88% |
| SMA 크로스오버 fast=26, slow=203 |
9.6% | -41.8% | 0.48 | 0.23 | 5.6x | 33 | 68% |
| EMA 크로스오버 fast=55, slow=108 |
9.8% | -42.2% | 0.48 | 0.23 | 5.7x | 31 | 71% |
| Parabolic SAR step=0.02, maxStep=0.18 |
4.2% | -60.6% | 0.29 | 0.07 | 2.2x | 411 | 53% |
| Supertrend period=19, mult=4.2 |
2.3% | -54.6% | 0.22 | 0.04 | 1.5x | 87 | 53% |
| MACD fast=12, slow=58, signal=14 |
1.7% | -53.5% | 0.19 | 0.03 | 1.4x | 259 | 50% |
| 볼린저 밴드 돌파 n=25, k=1.8 |
1.2% | -47.1% | 0.16 | 0.03 | 1.3x | 161 | 37% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=16, mult=1.2 |
-0.9% | -57.6% | 0.07 | -0.01 | 0.9x | 191 | 44% |
| ADX / DI 방향성 period=26, threshold=24 |
-0.2% | -22.1% | 0.02 | -0.01 | 1.0x | 42 | 10% |
| Buy and hold | 18.4% | -47.8% | 0.66 | 0.39 | 23.9x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 50 days