Trend-Following Backtester · Guide · backtest 한국어
equity · GB
CMC Markets Plc backtest
10 trend-following strategies were compared on the full daily history of CMC Markets Plc. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.2%, MDD -18.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.1%, drawdown -83.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 36.9%, MDD -33.2%, Sharpe 1.03, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.8%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 23.2%, MDD -18.8%, exposure 22%).
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=24, slow=62 |
36.9% | -33.2% | 1.03 | 1.11 | 27.5x | 21 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=4 |
23.2% | -18.8% | 0.99 | 1.23 | 9.0x | 9 | 22% |
| ROC 모멘텀 n=80, threshold=0.04 |
32.8% | -42.7% | 0.96 | 0.77 | 20.0x | 67 | 53% |
| ADX / DI 방향성 period=35, threshold=12 |
28.9% | -42.4% | 0.95 | 0.68 | 14.6x | 71 | 41% |
| SMA 크로스오버 fast=11, slow=108 |
31.8% | -38.7% | 0.93 | 0.82 | 18.5x | 25 | 54% |
| 볼린저 밴드 돌파 n=63, k=3.4 |
23.4% | -23.1% | 0.93 | 1.01 | 9.2x | 11 | 24% |
| Supertrend period=8, mult=4.8 |
30.9% | -38.5% | 0.92 | 0.80 | 17.2x | 15 | 60% |
| Donchian 채널 돌파 entryN=63, exitN=55 |
26.4% | -56.0% | 0.81 | 0.47 | 11.8x | 15 | 58% |
| Parabolic SAR step=0.005, maxStep=0.3 |
9.9% | -64.9% | 0.44 | 0.15 | 2.7x | 97 | 50% |
| MACD fast=15, slow=39, signal=18 |
-0.5% | -79.0% | 0.15 | -0.01 | 0.9x | 114 | 51% |
| Buy and hold | 11.1% | -83.4% | 0.46 | 0.13 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 62-day EMA
- Sell — Sell when the 24-day EMA falls below the 62-day EMA