Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core MSCI Canadian Quality Dividend Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Canadian Quality Dividend Index ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -17.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -41.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -17.9%, Sharpe 1.01, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 9.9%, MDD -17.9%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=78 |
9.9% | -17.9% | 1.01 | 0.56 | 2.4x | 17 | 88% |
| ROC 모멘텀 n=77, threshold=-0.01 |
7.5% | -18.1% | 0.95 | 0.42 | 1.9x | 55 | 73% |
| ADX / DI 방향성 period=37, threshold=19 |
3.1% | -4.5% | 0.91 | 0.70 | 1.3x | 11 | 16% |
| SMA 크로스오버 fast=5, slow=245 |
6.9% | -24.4% | 0.88 | 0.28 | 1.8x | 19 | 67% |
| Supertrend period=21, mult=4.8 |
6.3% | -17.6% | 0.81 | 0.36 | 1.7x | 39 | 67% |
| EMA 크로스오버 fast=6, slow=241 |
6.2% | -26.1% | 0.80 | 0.24 | 1.7x | 23 | 68% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=1.3 |
4.9% | -16.3% | 0.68 | 0.30 | 1.5x | 57 | 63% |
| 볼린저 밴드 돌파 n=57, k=3 |
1.6% | -6.6% | 0.66 | 0.24 | 1.2x | 3 | 6% |
| Parabolic SAR step=0.025, maxStep=0.1 |
2.5% | -20.0% | 0.31 | 0.12 | 1.2x | 165 | 63% |
| MACD fast=16, slow=24, signal=19 |
0.4% | -21.4% | 0.09 | 0.02 | 1.0x | 115 | 50% |
| Buy and hold | 8.9% | -41.5% | 0.62 | 0.22 | 2.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 78 days