Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Equal Weight Banks Index ETF CAD Units Trust Unit backtest
10 trend-following strategies were compared on the full daily history of BMO Equal Weight Banks Index ETF CAD Units Trust Unit. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.1%, MDD -16.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -40.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -12.9%, Sharpe 1.05, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.7%, MDD -21.7%, exposure 64%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 27.7%p (CAGR 7.1%, MDD -16.2%, exposure 45%).
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=119, exitN=14 |
6.0% | -12.9% | 1.05 | 0.47 | 2.6x | 50 | 35% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=24, mult=2.1 |
7.1% | -16.2% | 1.02 | 0.44 | 3.1x | 84 | 45% |
| SMA 크로스오버 fast=45, slow=95 |
7.7% | -21.7% | 0.89 | 0.36 | 3.4x | 37 | 64% |
| EMA 크로스오버 fast=8, slow=144 |
7.5% | -25.2% | 0.87 | 0.30 | 3.3x | 51 | 66% |
| 볼린저 밴드 돌파 n=52, k=1.8 |
6.0% | -16.8% | 0.85 | 0.36 | 2.6x | 64 | 44% |
| ADX / DI 방향성 period=19, threshold=33 |
2.5% | -7.7% | 0.81 | 0.32 | 1.5x | 20 | 11% |
| Supertrend period=10, mult=4 |
6.0% | -23.9% | 0.74 | 0.25 | 2.6x | 84 | 56% |
| ROC 모멘텀 n=101, threshold=0.01 |
5.6% | -30.9% | 0.69 | 0.18 | 2.4x | 89 | 61% |
| MACD fast=18, slow=38, signal=17 |
2.2% | -31.1% | 0.28 | 0.07 | 1.4x | 182 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.8% | -43.6% | 0.13 | 0.02 | 1.1x | 284 | 60% |
| Buy and hold | 9.3% | -40.7% | 0.64 | 0.23 | 4.3x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 14 days