Trend-Following Backtester · Guide · backtest 한국어
equity · US
GFL Environmental Inc. Subordinate voting shares, no par value backtest
10 trend-following strategies were compared on the full daily history of GFL Environmental Inc. Subordinate voting shares, no par value. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.9%, MDD -22.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.2%, drawdown -42.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.4%, MDD -31.4%, Sharpe 0.85, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 11.4%p (CAGR 15.9%, MDD -22.8%, exposure 57%).
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=31, exitN=50 |
19.4% | -31.4% | 0.85 | 0.62 | 3.2x | 11 | 66% |
| EMA 크로스오버 fast=34, slow=124 |
15.9% | -22.8% | 0.80 | 0.70 | 2.6x | 9 | 57% |
| SMA 크로스오버 fast=51, slow=143 |
14.6% | -27.4% | 0.74 | 0.53 | 2.4x | 6 | 57% |
| ROC 모멘텀 n=119, threshold=0.01 |
14.2% | -28.4% | 0.71 | 0.50 | 2.4x | 26 | 59% |
| Supertrend period=25, mult=4.9 |
13.9% | -38.4% | 0.66 | 0.36 | 2.3x | 17 | 63% |
| 볼린저 밴드 돌파 n=41, k=2.3 |
6.0% | -17.2% | 0.46 | 0.35 | 1.5x | 23 | 31% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=1.7 |
6.5% | -30.6% | 0.42 | 0.21 | 1.5x | 35 | 48% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.3% | -41.4% | 0.38 | 0.15 | 1.5x | 53 | 57% |
| ADX / DI 방향성 period=28, threshold=14 |
2.3% | -28.8% | 0.22 | 0.08 | 1.2x | 59 | 41% |
| MACD fast=22, slow=32, signal=21 |
-0.5% | -42.5% | 0.08 | -0.01 | 1.0x | 66 | 49% |
| Buy and hold | 15.2% | -42.9% | 0.60 | 0.35 | 2.5x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 50 days