Trend-Following Backtester · Guide · backtest 한국어

equity · CA

National Bank of Canada backtest

10 trend-following strategies were compared on the full daily history of National Bank of Canada. 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 9.8%, MDD -24.8%).

Data 1995-01-12 ~ 2026-07-31daily bars 7,930 (31.5 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 13.1%, drawdown -61.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -24.8%, Sharpe 0.75, 57% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 36.7%p (CAGR 9.8%, MDD -24.8%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=102, exitN=64
9.8%-24.8%0.750.4019.3x4557%
EMA 크로스오버
fast=29, slow=169
9.6%-33.1%0.660.2918.0x4972%
SMA 크로스오버
fast=10, slow=101
8.5%-34.2%0.610.2513.3x10566%
Keltner 채널 돌파
emaPeriod=64, atrPeriod=12, mult=2
7.2%-33.2%0.600.229.1x15152%
ADX / DI 방향성
period=50, threshold=8
7.5%-31.7%0.580.249.9x25156%
Supertrend
period=10, mult=4.4
6.7%-34.2%0.520.207.8x12559%
ROC 모멘텀
n=60, threshold=-0.04
7.6%-55.5%0.520.1410.0x24379%
볼린저 밴드 돌파
n=54, k=1.1
5.8%-35.6%0.470.166.0x19554%
Parabolic SAR
step=0.005, maxStep=0.18
3.2%-63.2%0.280.052.7x28259%
MACD
fast=18, slow=58, signal=17
1.7%-63.7%0.190.031.7x36251%
Buy and hold13.1%-61.5%0.640.2148.8x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -31% -46% -62% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -24.8% (1998-04-16 → 2000-03-08), recovered after 966 days.

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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