Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Pembina Pipeline Corporation backtest
10 trend-following strategies were compared on the full daily history of Pembina Pipeline Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -68.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.4%, MDD -57.7%, Sharpe 0.43, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=9, threshold=-0.12 |
7.4% | -57.7% | 0.43 | 0.13 | 5.1x | 27 | 99% |
| Supertrend period=23, mult=4.6 |
3.5% | -63.0% | 0.30 | 0.06 | 2.2x | 69 | 62% |
| SMA 크로스오버 fast=8, slow=242 |
2.9% | -46.5% | 0.26 | 0.06 | 1.9x | 63 | 66% |
| EMA 크로스오버 fast=30, slow=219 |
2.0% | -59.1% | 0.20 | 0.03 | 1.6x | 43 | 70% |
| Donchian 채널 돌파 entryN=106, exitN=32 |
1.6% | -38.4% | 0.19 | 0.04 | 1.4x | 49 | 42% |
| ADX / DI 방향성 period=33, threshold=35 |
0.3% | -5.9% | 0.18 | 0.05 | 1.1x | 4 | 1% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
0.3% | -6.4% | 0.15 | 0.05 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=3 |
0.2% | -36.1% | 0.07 | 0.01 | 1.0x | 89 | 34% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-4.0% | -68.3% | -0.16 | -0.06 | 0.4x | 311 | 59% |
| MACD fast=13, slow=33, signal=17 |
-7.5% | -87.2% | -0.43 | -0.09 | 0.2x | 363 | 52% |
| Buy and hold | 7.9% | -68.9% | 0.41 | 0.11 | 5.6x | 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 9-day return is greater than -12%
- Sell — Sell when the 9-day return drops to -12% or below