Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Nasdaq 100 Equity Hedged To CAD Index ETF backtest
10 trend-following strategies were compared on the full daily history of BMO Nasdaq 100 Equity Hedged To CAD Index ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -36.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.0%, MDD -40.9%, Sharpe 0.79, 93% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=-0.11 |
14.0% | -40.9% | 0.79 | 0.34 | 8.8x | 35 | 93% |
| EMA 크로스오버 fast=32, slow=167 |
12.5% | -31.3% | 0.79 | 0.40 | 7.0x | 19 | 82% |
| SMA 크로스오버 fast=39, slow=156 |
12.2% | -29.2% | 0.78 | 0.42 | 6.7x | 25 | 78% |
| Donchian 채널 돌파 entryN=16, exitN=60 |
11.5% | -33.8% | 0.73 | 0.34 | 6.1x | 41 | 89% |
| Supertrend period=23, mult=4.6 |
8.8% | -26.8% | 0.71 | 0.33 | 4.0x | 72 | 67% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=13, mult=2.5 |
4.4% | -23.7% | 0.48 | 0.19 | 2.1x | 96 | 47% |
| Parabolic SAR step=0.005, maxStep=0.28 |
5.5% | -29.0% | 0.47 | 0.19 | 2.4x | 167 | 65% |
| MACD fast=40, slow=72, signal=19 |
4.6% | -30.5% | 0.43 | 0.15 | 2.1x | 122 | 54% |
| 볼린저 밴드 돌파 n=52, k=1 |
4.1% | -27.2% | 0.39 | 0.15 | 1.9x | 120 | 60% |
| ADX / DI 방향성 period=19, threshold=38 |
0.3% | -3.2% | 0.24 | 0.09 | 1.0x | 2 | 1% |
| Buy and hold | 17.1% | -36.8% | 0.87 | 0.47 | 13.8x | 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 137-day return is greater than -11%
- Sell — Sell when the 137-day return drops to -11% or below