Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO S&P/TSX Capped Composite Index ETF backtest
10 trend-following strategies were compared on the full daily history of BMO S&P/TSX Capped Composite Index ETF. 0 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 5.8%, MDD -19.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -37.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -19.6%, Sharpe 0.66, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 17.6%p (CAGR 5.8%, MDD -19.6%, exposure 71%).
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=42, exitN=63 |
5.8% | -19.6% | 0.66 | 0.30 | 2.5x | 29 | 71% |
| SMA 크로스오버 fast=9, slow=118 |
4.3% | -24.4% | 0.53 | 0.18 | 2.0x | 47 | 67% |
| 볼린저 밴드 돌파 n=73, k=0.8 |
3.6% | -25.8% | 0.51 | 0.14 | 1.8x | 81 | 58% |
| EMA 크로스오버 fast=11, slow=90 |
4.0% | -28.4% | 0.50 | 0.14 | 1.9x | 53 | 69% |
| ROC 모멘텀 n=78, threshold=0 |
3.4% | -23.3% | 0.44 | 0.14 | 1.7x | 107 | 66% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=20, mult=1.4 |
2.0% | -29.3% | 0.29 | 0.07 | 1.4x | 101 | 60% |
| Supertrend period=22, mult=4.7 |
1.6% | -30.9% | 0.22 | 0.05 | 1.3x | 79 | 67% |
| ADX / DI 방향성 period=25, threshold=33 |
0.2% | -2.5% | 0.20 | 0.09 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.7% | -56.9% | -0.38 | -0.07 | 0.5x | 161 | 62% |
| MACD fast=10, slow=54, signal=17 |
-3.6% | -51.1% | -0.42 | -0.07 | 0.5x | 237 | 50% |
| Buy and hold | 6.7% | -37.2% | 0.52 | 0.18 | 2.9x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 63 days