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 22.3%, MDD -18.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.2%, drawdown -83.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 36.0%, MDD -33.2%, Sharpe 1.01, 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 22.3%, MDD -18.8%, exposure 21%).
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 |
36.0% | -33.2% | 1.01 | 1.08 | 25.1x | 21 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=4 |
22.3% | -18.8% | 0.96 | 1.18 | 8.2x | 9 | 21% |
| ROC 모멘텀 n=80, threshold=0.04 |
31.9% | -42.7% | 0.94 | 0.75 | 18.2x | 67 | 52% |
| ADX / DI 방향성 period=35, threshold=12 |
28.0% | -42.4% | 0.93 | 0.66 | 13.3x | 71 | 40% |
| SMA 크로스오버 fast=11, slow=108 |
30.9% | -38.7% | 0.91 | 0.80 | 16.8x | 25 | 54% |
| 볼린저 밴드 돌파 n=63, k=3.4 |
22.5% | -23.1% | 0.90 | 0.97 | 8.4x | 11 | 23% |
| Supertrend period=8, mult=4.8 |
30.0% | -38.5% | 0.90 | 0.78 | 15.7x | 15 | 59% |
| Donchian 채널 돌파 entryN=63, exitN=55 |
25.5% | -56.0% | 0.79 | 0.46 | 10.8x | 15 | 57% |
| Parabolic SAR step=0.005, maxStep=0.3 |
9.5% | -64.9% | 0.43 | 0.15 | 2.6x | 95 | 50% |
| MACD fast=15, slow=39, signal=18 |
-0.5% | -79.0% | 0.16 | -0.01 | 0.9x | 114 | 51% |
| Buy and hold | 10.2% | -83.4% | 0.44 | 0.12 | 2.8x | 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