Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Stella-Jones Inc. backtest

10 trend-following strategies were compared on the full daily history of Stella-Jones Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.2%, MDD -46.8%).

Data 1995-11-29 ~ 2026-07-31daily bars 7,706 (30.7 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 17.5%, drawdown -73.4%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -46.8%, Sharpe 0.73, 65% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 18.2%, MDD -46.8%, exposure 65%).

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
SMA 크로스오버
fast=48, slow=205
18.2%-46.8%0.730.39169.4x2465%
EMA 크로스오버
fast=51, slow=133
17.4%-54.9%0.700.32137.6x2866%
Donchian 채널 돌파
entryN=60, exitN=74
17.9%-51.8%0.690.34154.7x3867%
볼린저 밴드 돌파
n=132, k=1.5
14.6%-53.8%0.660.2765.1x5052%
ROC 모멘텀
n=148, threshold=0
13.4%-68.2%0.580.2047.8x15465%
ADX / DI 방향성
period=44, threshold=13
6.8%-67.6%0.400.107.5x15641%
Parabolic SAR
step=0.005, maxStep=0.22
3.1%-69.4%0.250.042.5x22251%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=19, mult=3.7
2.3%-87.3%0.220.032.0x12236%
MACD
fast=23, slow=52, signal=35
0.2%-83.8%0.140.001.1x24551%
Supertrend
period=11, mult=5
-2.4%-98.3%0.05-0.020.5x17962%
Buy and hold17.5%-73.4%0.610.24140.6x1100%
1x 10x 100x 1996 2000 2004 2008 2012 2016 2020 2024 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -37% -55% -73% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -46.8% (1998-01-12 → 2000-12-08), recovered after 2,191 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

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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