Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO S&P 500 Index ETF backtest
10 trend-following strategies were compared on the full daily history of BMO S&P 500 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 13.2%, MDD -19.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -26.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -19.9%, Sharpe 1.11, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 7.0%p (CAGR 13.2%, MDD -19.9%, 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=19, exitN=60 |
13.2% | -19.9% | 1.11 | 0.66 | 5.5x | 27 | 88% |
| EMA 크로스오버 fast=25, slow=57 |
11.4% | -17.6% | 1.03 | 0.64 | 4.4x | 29 | 79% |
| ROC 모멘텀 n=72, threshold=-0.09 |
11.6% | -33.9% | 0.90 | 0.34 | 4.5x | 29 | 95% |
| SMA 크로스오버 fast=13, slow=131 |
10.0% | -18.2% | 0.90 | 0.55 | 3.7x | 27 | 78% |
| Supertrend period=22, mult=4.8 |
7.9% | -14.1% | 0.82 | 0.56 | 2.8x | 53 | 71% |
| Parabolic SAR step=0.005, maxStep=0.08 |
5.7% | -16.8% | 0.62 | 0.34 | 2.1x | 128 | 65% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
4.4% | -19.0% | 0.53 | 0.23 | 1.8x | 104 | 59% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3.8 |
3.3% | -15.6% | 0.46 | 0.21 | 1.6x | 54 | 46% |
| ADX / DI 방향성 period=39, threshold=6 |
3.0% | -25.8% | 0.36 | 0.12 | 1.5x | 172 | 67% |
| MACD fast=21, slow=73, signal=17 |
2.3% | -14.7% | 0.31 | 0.16 | 1.4x | 140 | 52% |
| Buy and hold | 15.8% | -26.9% | 1.03 | 0.59 | 7.4x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 60 days