Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Chemring Group PLC backtest
10 trend-following strategies were compared on the full daily history of Chemring Group PLC. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.8%, MDD -44.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.3%, drawdown -83.0%).
Sharpe leader (same as main): Supertrend — CAGR 10.8%, MDD -78.7%, Sharpe 0.56, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 4.3%p (CAGR 9.8%, MDD -44.7%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=2.2 |
10.8% | -78.7% | 0.56 | 0.14 | 50.9x | 458 | 53% |
| EMA 크로스오버 fast=59, slow=259 |
9.8% | -44.7% | 0.55 | 0.22 | 35.0x | 35 | 62% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=16, mult=3.6 |
6.8% | -51.0% | 0.52 | 0.13 | 12.4x | 112 | 36% |
| SMA 크로스오버 fast=56, slow=211 |
9.1% | -73.4% | 0.51 | 0.12 | 28.0x | 51 | 61% |
| Donchian 채널 돌파 entryN=37, exitN=60 |
9.5% | -61.8% | 0.50 | 0.15 | 32.2x | 81 | 67% |
| ADX / DI 방향성 period=34, threshold=12 |
7.4% | -59.8% | 0.46 | 0.12 | 15.4x | 265 | 49% |
| 볼린저 밴드 돌파 n=30, k=2.3 |
6.6% | -39.4% | 0.46 | 0.17 | 11.5x | 208 | 31% |
| ROC 모멘텀 n=107, threshold=-0.01 |
5.4% | -88.5% | 0.35 | 0.06 | 7.4x | 277 | 64% |
| Parabolic SAR step=0.02, maxStep=0.36 |
4.8% | -90.0% | 0.31 | 0.05 | 6.0x | 664 | 53% |
| MACD fast=10, slow=38, signal=17 |
3.6% | -74.6% | 0.26 | 0.05 | 3.9x | 526 | 49% |
| Buy and hold | 8.3% | -83.0% | 0.40 | 0.10 | 21.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)