Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Diploma PLC backtest
10 trend-following strategies were compared on the full daily history of Diploma PLC. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.0%, MDD -36.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -86.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.5%, MDD -51.3%, Sharpe 0.60, 69% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 34.7%p (CAGR 11.0%, MDD -36.2%, exposure 63%).
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=48, slow=214 |
11.5% | -51.3% | 0.60 | 0.22 | 62.7x | 43 | 69% |
| Supertrend period=20, mult=4.6 |
11.0% | -36.2% | 0.58 | 0.30 | 53.1x | 197 | 63% |
| SMA 크로스오버 fast=60, slow=183 |
10.5% | -39.3% | 0.57 | 0.27 | 45.4x | 45 | 66% |
| Keltner 채널 돌파 emaPeriod=115, atrPeriod=15, mult=0.8 |
8.4% | -53.7% | 0.50 | 0.16 | 21.5x | 185 | 62% |
| ROC 모멘텀 n=154, threshold=-0.04 |
9.1% | -55.6% | 0.50 | 0.16 | 27.9x | 175 | 73% |
| Donchian 채널 돌파 entryN=18, exitN=49 |
9.5% | -62.5% | 0.49 | 0.15 | 31.5x | 131 | 78% |
| ADX / DI 방향성 period=99, threshold=2 |
6.7% | -70.9% | 0.41 | 0.09 | 12.0x | 215 | 64% |
| Parabolic SAR step=0.03, maxStep=0.24 |
5.0% | -83.3% | 0.34 | 0.06 | 6.4x | 866 | 52% |
| MACD fast=19, slow=23, signal=19 |
3.4% | -70.2% | 0.27 | 0.05 | 3.6x | 477 | 48% |
| 볼린저 밴드 돌파 n=21, k=1.5 |
2.6% | -75.2% | 0.23 | 0.03 | 2.6x | 440 | 42% |
| Buy and hold | 12.2% | -86.0% | 0.53 | 0.14 | 78.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 214-day EMA
- Sell — Sell when the 48-day EMA falls below the 214-day EMA