Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Covered Call Canadian Banks ETF backtest
10 trend-following strategies were compared on the full daily history of BMO Covered Call Canadian Banks ETF. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -18.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.6%, drawdown -42.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.3%, MDD -9.3%, Sharpe 0.74, 27% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.8%, MDD -23.0%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 33.3%p (CAGR 4.6%, MDD -18.6%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=35, mult=3.2 |
3.3% | -9.3% | 0.74 | 0.36 | 1.7x | 40 | 27% |
| Donchian 채널 돌파 entryN=79, exitN=59 |
4.6% | -18.6% | 0.71 | 0.25 | 2.0x | 27 | 52% |
| 볼린저 밴드 돌파 n=55, k=1.2 |
4.3% | -19.8% | 0.69 | 0.22 | 1.9x | 67 | 49% |
| EMA 크로스오버 fast=77, slow=212 |
4.8% | -23.0% | 0.65 | 0.21 | 2.1x | 11 | 58% |
| SMA 크로스오버 fast=51, slow=94 |
4.6% | -19.2% | 0.63 | 0.24 | 2.0x | 31 | 59% |
| Supertrend period=8, mult=3.9 |
4.0% | -18.3% | 0.62 | 0.22 | 1.8x | 79 | 52% |
| ROC 모멘텀 n=69, threshold=-0.03 |
3.8% | -28.8% | 0.49 | 0.13 | 1.8x | 93 | 73% |
| ADX / DI 방향성 period=35, threshold=27 |
0.9% | -7.2% | 0.40 | 0.13 | 1.2x | 10 | 7% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.7% | -36.8% | 0.12 | 0.02 | 1.1x | 142 | 58% |
| MACD fast=15, slow=58, signal=19 |
-0.4% | -39.0% | -0.01 | -0.01 | 0.9x | 168 | 51% |
| Buy and hold | 4.6% | -42.6% | 0.38 | 0.11 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average