Trend-Following Backtester · Guide · backtest 한국어
etf · CA
RBC Canadian Bank Yield Index ETF backtest
10 trend-following strategies were compared on the full daily history of RBC Canadian Bank Yield Index ETF. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.6%, MDD -14.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.0%, drawdown -40.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.0%, MDD -6.7%, Sharpe 1.35, 28% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.6%, MDD -14.9%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 33.8%p (CAGR 12.6%, MDD -14.9%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=4 |
8.0% | -6.7% | 1.35 | 1.20 | 2.0x | 22 | 28% |
| SMA 크로스오버 fast=43, slow=90 |
12.6% | -14.9% | 1.29 | 0.85 | 2.8x | 19 | 61% |
| Donchian 채널 돌파 entryN=64, exitN=18 |
8.7% | -11.3% | 1.21 | 0.77 | 2.1x | 29 | 41% |
| ADX / DI 방향성 period=29, threshold=23 |
5.7% | -6.7% | 1.16 | 0.85 | 1.6x | 9 | 19% |
| 볼린저 밴드 돌파 n=35, k=3.4 |
4.0% | -6.5% | 1.15 | 0.61 | 1.4x | 6 | 11% |
| ROC 모멘텀 n=146, threshold=0.05 |
9.7% | -21.8% | 1.13 | 0.44 | 2.3x | 35 | 47% |
| Supertrend period=9, mult=5 |
9.2% | -20.6% | 1.03 | 0.45 | 2.2x | 41 | 55% |
| EMA 크로스오버 fast=32, slow=108 |
9.4% | -25.1% | 1.00 | 0.38 | 2.2x | 15 | 59% |
| MACD fast=24, slow=30, signal=16 |
5.9% | -18.4% | 0.63 | 0.32 | 1.7x | 94 | 48% |
| Parabolic SAR step=0.015, maxStep=0.28 |
5.0% | -23.3% | 0.53 | 0.21 | 1.5x | 156 | 58% |
| Buy and hold | 11.0% | -40.5% | 0.67 | 0.27 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average