Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Capped Utilities Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Capped Utilities Index Fund. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.6%, drawdown -37.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -21.1%, Sharpe 0.37, 40% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.0%, MDD -34.8%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=86, exitN=36 |
2.4% | -21.1% | 0.37 | 0.12 | 1.4x | 28 | 40% |
| ROC 모멘텀 Hold-like · Exposure 99% n=15, threshold=-0.1 |
4.0% | -34.8% | 0.37 | 0.11 | 1.8x | 9 | 99% |
| SMA 크로스오버 fast=43, slow=242 |
3.5% | -37.8% | 0.35 | 0.09 | 1.7x | 13 | 61% |
| EMA 크로스오버 fast=34, slow=378 |
3.4% | -37.8% | 0.33 | 0.09 | 1.6x | 7 | 60% |
| ADX / DI 방향성 period=17, threshold=40 |
0.1% | -4.7% | 0.07 | 0.02 | 1.0x | 10 | 2% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
-0.1% | -5.5% | -0.02 | -0.01 | 1.0x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=4 |
-0.1% | -5.2% | -0.02 | -0.01 | 1.0x | 8 | 2% |
| Supertrend period=8, mult=4.4 |
-1.2% | -41.9% | -0.11 | -0.03 | 0.8x | 80 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.4% | -44.6% | -0.22 | -0.05 | 0.7x | 136 | 57% |
| MACD fast=15, slow=25, signal=24 |
-4.3% | -51.3% | -0.44 | -0.08 | 0.5x | 196 | 51% |
| Buy and hold | 3.6% | -37.8% | 0.31 | 0.10 | 1.7x | 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 86 days
- Sell — Sell when price breaks below the lowest low of the last 36 days