Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canada Goose Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Canada Goose Holdings, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.6%, MDD -34.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.5%, drawdown -89.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.1%, MDD -72.7%, Sharpe 0.34, 33% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 3.6%, MDD -34.2%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=120, threshold=0.09 |
6.1% | -72.7% | 0.34 | 0.08 | 1.8x | 76 | 33% |
| SMA 크로스오버 fast=56, slow=120 |
5.4% | -73.8% | 0.32 | 0.07 | 1.6x | 26 | 39% |
| ADX / DI 방향성 period=10, threshold=33 |
4.7% | -54.0% | 0.30 | 0.09 | 1.5x | 60 | 18% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=10, mult=4 |
3.6% | -34.2% | 0.29 | 0.11 | 1.4x | 12 | 9% |
| MACD fast=11, slow=14, signal=9 |
2.1% | -75.7% | 0.25 | 0.03 | 1.2x | 194 | 51% |
| EMA 크로스오버 fast=52, slow=177 |
2.5% | -59.7% | 0.23 | 0.04 | 1.3x | 12 | 35% |
| Donchian 채널 돌파 entryN=103, exitN=10 |
1.7% | -52.9% | 0.18 | 0.03 | 1.2x | 20 | 10% |
| 볼린저 밴드 돌파 n=19, k=1.8 |
0.8% | -67.3% | 0.18 | 0.01 | 1.1x | 94 | 29% |
| Supertrend period=21, mult=1.8 |
-1.7% | -78.6% | 0.14 | -0.02 | 0.9x | 132 | 44% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.8% | -70.0% | 0.13 | -0.03 | 0.8x | 112 | 48% |
| Buy and hold | -6.5% | -89.4% | 0.14 | -0.07 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 120-day return is greater than 9%
- Sell — Sell when the 120-day return drops to 9% or below