Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Core MSCI Canadian Quality Dividend Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Canadian Quality Dividend Index ETF. 1 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 10.6%, MDD -17.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -41.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.6%, MDD -17.9%, Sharpe 1.08, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 10.6%, MDD -17.9%, 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=12, exitN=78 |
10.6% | -17.9% | 1.08 | 0.59 | 2.5x | 17 | 88% |
| ADX / DI 방향성 period=37, threshold=19 |
3.6% | -4.5% | 1.06 | 0.79 | 1.4x | 9 | 16% |
| ROC 모멘텀 n=77, threshold=-0.01 |
8.5% | -18.1% | 1.06 | 0.47 | 2.1x | 51 | 74% |
| SMA 크로스오버 fast=5, slow=245 |
7.2% | -24.9% | 0.92 | 0.29 | 1.9x | 19 | 68% |
| EMA 크로스오버 fast=6, slow=241 |
7.2% | -27.3% | 0.91 | 0.26 | 1.9x | 23 | 69% |
| Supertrend period=21, mult=4.8 |
6.9% | -17.6% | 0.87 | 0.39 | 1.8x | 39 | 69% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=1.3 |
4.3% | -20.2% | 0.61 | 0.21 | 1.5x | 63 | 64% |
| Parabolic SAR step=0.025, maxStep=0.1 |
3.2% | -19.6% | 0.39 | 0.16 | 1.3x | 163 | 63% |
| MACD fast=16, slow=24, signal=19 |
-0.3% | -24.4% | 0.01 | -0.01 | 1.0x | 121 | 49% |
| 볼린저 밴드 돌파 n=57, k=3 |
-0.5% | -5.2% | -0.43 | -0.09 | 1.0x | 2 | 1% |
| Buy and hold | 9.6% | -41.5% | 0.66 | 0.23 | 2.3x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 78 days