Trend-Following Backtester · Guide · backtest 한국어
equity · CA
TC Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of TC Energy Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.3%, MDD -29.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.8%, drawdown -71.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -36.3%, Sharpe 0.56, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 6.3%, MDD -29.9%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=213 |
7.8% | -36.3% | 0.56 | 0.22 | 10.7x | 31 | 65% |
| Donchian 채널 돌파 entryN=75, exitN=91 |
6.3% | -29.9% | 0.50 | 0.21 | 7.0x | 31 | 69% |
| EMA 크로스오버 fast=34, slow=170 |
5.7% | -41.8% | 0.45 | 0.14 | 5.8x | 45 | 68% |
| Supertrend period=22, mult=4.9 |
3.7% | -45.6% | 0.33 | 0.08 | 3.1x | 79 | 65% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
1.4% | -14.3% | 0.31 | 0.10 | 1.5x | 22 | 8% |
| ROC 모멘텀 n=137, threshold=0.01 |
2.8% | -58.0% | 0.27 | 0.05 | 2.4x | 239 | 62% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3.4 |
0.1% | -10.5% | 0.06 | 0.01 | 1.0x | 16 | 2% |
| ADX / DI 방향성 period=38, threshold=17 |
0.0% | -28.9% | 0.04 | 0.00 | 1.0x | 80 | 17% |
| MACD fast=24, slow=61, signal=22 |
-3.3% | -79.5% | -0.18 | -0.04 | 0.3x | 284 | 51% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.8% | -80.9% | -0.22 | -0.05 | 0.3x | 279 | 57% |
| Buy and hold | 5.8% | -71.1% | 0.37 | 0.08 | 5.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 54-day average falls below the 213-day average