Trend-Following Backtester · Guide · backtest 한국어
etf · CA
TD Canadian Equity Index ETF backtest
10 trend-following strategies were compared on the full daily history of TD Canadian Equity Index ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.5%, MDD -18.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -37.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -26.8%, Sharpe 0.85, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 10.3%p (CAGR 8.5%, MDD -18.7%, exposure 82%).
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 96% n=8, threshold=-0.04 |
9.8% | -26.8% | 0.85 | 0.37 | 2.6x | 55 | 96% |
| Donchian 채널 돌파 entryN=33, exitN=81 |
8.5% | -18.7% | 0.85 | 0.45 | 2.3x | 17 | 82% |
| EMA 크로스오버 fast=7, slow=139 |
5.5% | -21.1% | 0.62 | 0.26 | 1.7x | 31 | 73% |
| SMA 크로스오버 fast=5, slow=129 |
5.1% | -23.2% | 0.60 | 0.22 | 1.7x | 35 | 71% |
| ADX / DI 방향성 period=40, threshold=23 |
1.4% | -3.7% | 0.47 | 0.38 | 1.2x | 4 | 7% |
| 볼린저 밴드 돌파 n=66, k=1.6 |
2.9% | -21.3% | 0.45 | 0.14 | 1.3x | 41 | 49% |
| Supertrend period=19, mult=5 |
2.0% | -28.9% | 0.27 | 0.07 | 1.2x | 71 | 65% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=3.3 |
1.1% | -20.9% | 0.20 | 0.05 | 1.1x | 53 | 50% |
| Parabolic SAR step=0.035, maxStep=0.04 |
1.1% | -31.2% | 0.17 | 0.03 | 1.1x | 107 | 68% |
| MACD fast=19, slow=32, signal=9 |
-1.2% | -27.8% | -0.12 | -0.04 | 0.9x | 162 | 49% |
| Buy and hold | 9.9% | -37.0% | 0.72 | 0.27 | 2.7x | 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 8-day return is greater than -4%
- Sell — Sell when the 8-day return drops to -4% or below