Trend-Following Backtester · Guide · backtest 한국어
equity · DK
ChemoMetec A/S backtest
10 trend-following strategies were compared on the full daily history of ChemoMetec A/S. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.4%, MDD -45.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.1%, drawdown -88.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.9%, MDD -79.2%, Sharpe 0.69, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 9.1%p (CAGR 16.4%, MDD -45.5%, exposure 26%).
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=55, slow=141 |
22.9% | -79.2% | 0.69 | 0.29 | 58.3x | 22 | 50% |
| SMA 크로스오버 fast=48, slow=285 |
21.4% | -69.6% | 0.67 | 0.31 | 45.5x | 18 | 45% |
| Donchian 채널 돌파 entryN=87, exitN=35 |
20.5% | -71.7% | 0.66 | 0.29 | 39.4x | 33 | 38% |
| Keltner 채널 돌파 emaPeriod=90, atrPeriod=11, mult=4 |
16.4% | -45.5% | 0.61 | 0.36 | 19.8x | 33 | 26% |
| ADX / DI 방향성 period=39, threshold=13 |
13.9% | -48.5% | 0.55 | 0.29 | 13.1x | 102 | 30% |
| ROC 모멘텀 n=128, threshold=0.07 |
12.3% | -82.3% | 0.48 | 0.15 | 9.9x | 155 | 43% |
| Supertrend period=15, mult=5 |
10.8% | -90.3% | 0.45 | 0.12 | 7.6x | 63 | 52% |
| 볼린저 밴드 돌파 n=32, k=2.8 |
6.4% | -80.2% | 0.35 | 0.08 | 3.4x | 75 | 19% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-5.1% | -98.3% | 0.11 | -0.05 | 0.4x | 289 | 50% |
| MACD fast=17, slow=49, signal=18 |
-9.8% | -99.6% | 0.02 | -0.10 | 0.1x | 253 | 52% |
| Buy and hold | 17.1% | -88.3% | 0.57 | 0.19 | 22.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 141-day EMA
- Sell — Sell when the 55-day EMA falls below the 141-day EMA