Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Empresas CMPC S.A. backtest
10 trend-following strategies were compared on the full daily history of Empresas CMPC S.A.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -63.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.2%, MDD -52.8%, Sharpe 0.33, 52% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=21, slow=118 |
4.2% | -52.8% | 0.33 | 0.08 | 3.0x | 64 | 52% |
| SMA 크로스오버 fast=24, slow=198 |
3.5% | -61.6% | 0.28 | 0.06 | 2.5x | 58 | 51% |
| Donchian 채널 돌파 entryN=85, exitN=63 |
2.8% | -55.3% | 0.25 | 0.05 | 2.1x | 40 | 48% |
| 볼린저 밴드 돌파 n=15, k=2.5 |
0.8% | -48.8% | 0.13 | 0.02 | 1.2x | 124 | 13% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=15, mult=2.6 |
0.6% | -21.6% | 0.13 | 0.03 | 1.2x | 84 | 7% |
| ROC 모멘텀 n=139, threshold=0.13 |
-0.3% | -57.4% | 0.04 | -0.01 | 0.9x | 198 | 28% |
| Supertrend period=19, mult=4.9 |
-1.3% | -71.3% | 0.04 | -0.02 | 0.7x | 118 | 58% |
| ADX / DI 방향성 period=34, threshold=11 |
-2.1% | -73.4% | -0.05 | -0.03 | 0.6x | 234 | 40% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-4.6% | -87.7% | -0.16 | -0.05 | 0.3x | 451 | 51% |
| MACD fast=19, slow=24, signal=16 |
-5.3% | -90.5% | -0.19 | -0.06 | 0.2x | 365 | 50% |
| Buy and hold | 3.1% | -63.9% | 0.25 | 0.05 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 118-day EMA
- Sell — Sell when the 21-day EMA falls below the 118-day EMA