Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Chesnara Plc backtest
10 trend-following strategies were compared on the full daily history of Chesnara Plc. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -49.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -45.6%, Sharpe 0.37, 57% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=165 |
6.2% | -45.6% | 0.37 | 0.14 | 3.8x | 43 | 57% |
| EMA 크로스오버 fast=78, slow=215 |
4.1% | -60.1% | 0.30 | 0.07 | 2.4x | 29 | 54% |
| Donchian 채널 돌파 entryN=101, exitN=71 |
2.2% | -65.2% | 0.21 | 0.03 | 1.6x | 25 | 43% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=21, mult=3.9 |
0.9% | -25.3% | 0.15 | 0.03 | 1.2x | 14 | 9% |
| Supertrend period=21, mult=3.8 |
-1.0% | -68.5% | 0.06 | -0.01 | 0.8x | 51 | 55% |
| ADX / DI 방향성 period=36, threshold=27 |
0.0% | -18.4% | 0.03 | 0.00 | 1.0x | 14 | 5% |
| ROC 모멘텀 n=148, threshold=0.07 |
-2.7% | -82.4% | -0.07 | -0.03 | 0.5x | 195 | 36% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.8% | -75.6% | -0.08 | -0.05 | 0.4x | 189 | 53% |
| 볼린저 밴드 돌파 n=47, k=3.2 |
-1.8% | -46.3% | -0.16 | -0.04 | 0.7x | 42 | 12% |
| MACD fast=18, slow=41, signal=17 |
-12.7% | -95.8% | -0.54 | -0.13 | 0.0x | 307 | 50% |
| Buy and hold | 5.8% | -49.2% | 0.34 | 0.12 | 3.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 78-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 78-day average falls below the 165-day average