Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Keyera Corp. backtest

10 trend-following strategies were compared on the full daily history of Keyera Corp.. 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 9.6%, MDD -60.3%).

Data 2003-10-09 ~ 2026-07-31daily bars 5,728 (22.8 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 10.9%, drawdown -79.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -60.3%, Sharpe 0.53, 87% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 9.6%, MDD -60.3%, exposure 87%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=16, exitN=73
9.6%-60.3%0.530.168.0x4387%
Supertrend
period=20, mult=4.8
7.0%-60.9%0.480.124.7x6564%
볼린저 밴드 돌파
n=65, k=1.7
4.0%-50.7%0.360.082.5x9347%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=13, mult=2.3
3.5%-53.2%0.330.072.2x10145%
SMA 크로스오버
fast=13, slow=73
4.1%-72.5%0.320.062.5x11163%
ROC 모멘텀
n=129, threshold=-0.03
4.3%-70.9%0.320.062.6x17171%
EMA 크로스오버
fast=44, slow=237
3.8%-76.6%0.290.052.3x3767%
ADX / DI 방향성
period=36, threshold=22
1.4%-24.7%0.240.061.4x3611%
Parabolic SAR
step=0.005, maxStep=0.22
1.9%-53.3%0.190.041.5x18358%
MACD
fast=15, slow=25, signal=11
-3.2%-77.0%-0.09-0.040.5x42951%
Buy and hold10.9%-79.0%0.510.1410.5x1100%
1x 10x 2004 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -79% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -60.3% (2014-09-03 → 2020-11-12), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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