Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Power Corporation of Canada backtest
10 trend-following strategies were compared on the full daily history of Power Corporation 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 8.6%, MDD -47.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -64.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -47.0%, Sharpe 0.54, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 8.6%, MDD -47.0%, exposure 79%).
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=15, exitN=47 |
8.6% | -47.0% | 0.54 | 0.18 | 13.5x | 105 | 79% |
| ROC 모멘텀 n=176, threshold=-0.09 |
7.1% | -51.7% | 0.47 | 0.14 | 8.7x | 129 | 80% |
| SMA 크로스오버 fast=39, slow=176 |
6.8% | -59.2% | 0.47 | 0.11 | 8.0x | 49 | 63% |
| EMA 크로스오버 fast=20, slow=118 |
6.4% | -41.9% | 0.47 | 0.15 | 7.2x | 75 | 65% |
| Supertrend period=17, mult=4.1 |
6.3% | -47.0% | 0.47 | 0.13 | 6.9x | 123 | 58% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=7, mult=4 |
4.2% | -53.8% | 0.41 | 0.08 | 3.7x | 75 | 37% |
| 볼린저 밴드 돌파 n=53, k=2.5 |
2.9% | -45.8% | 0.33 | 0.06 | 2.5x | 89 | 30% |
| ADX / DI 방향성 period=31, threshold=23 |
1.7% | -30.2% | 0.30 | 0.06 | 1.7x | 54 | 10% |
| MACD fast=24, slow=66, signal=24 |
0.2% | -70.0% | 0.09 | 0.00 | 1.1x | 268 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-0.6% | -82.1% | 0.05 | -0.01 | 0.8x | 544 | 54% |
| Buy and hold | 9.8% | -64.1% | 0.50 | 0.15 | 19.5x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 47 days