Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Energean Plc backtest
10 trend-following strategies were compared on the full daily history of Energean Plc. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.2%, MDD -32.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.2%, drawdown -72.4%).
Sharpe leader (same as main): Supertrend — CAGR 13.1%, MDD -47.0%, Sharpe 0.55, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 7.2%, MDD -32.3%, exposure 20%).
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=27, mult=3.4 |
13.1% | -47.0% | 0.55 | 0.28 | 2.8x | 28 | 55% |
| ADX / DI 방향성 period=22, threshold=20 |
7.2% | -32.3% | 0.46 | 0.22 | 1.8x | 40 | 20% |
| Donchian 채널 돌파 entryN=89, exitN=25 |
6.2% | -34.8% | 0.39 | 0.18 | 1.7x | 14 | 29% |
| EMA 크로스오버 fast=46, slow=107 |
6.3% | -50.0% | 0.36 | 0.13 | 1.7x | 16 | 49% |
| 볼린저 밴드 돌파 n=34, k=2.6 |
4.5% | -27.9% | 0.34 | 0.16 | 1.5x | 26 | 19% |
| SMA 크로스오버 fast=36, slow=178 |
5.3% | -49.5% | 0.33 | 0.11 | 1.5x | 14 | 43% |
| ROC 모멘텀 n=123, threshold=0.13 |
4.3% | -38.1% | 0.29 | 0.11 | 1.4x | 68 | 33% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=3.1 |
3.0% | -38.9% | 0.25 | 0.08 | 1.3x | 16 | 21% |
| Parabolic SAR step=0.03, maxStep=0.3 |
-0.6% | -78.9% | 0.14 | -0.01 | 0.9x | 256 | 51% |
| MACD fast=9, slow=22, signal=12 |
-5.7% | -54.2% | -0.06 | -0.10 | 0.6x | 180 | 47% |
| Buy and hold | 6.2% | -72.4% | 0.36 | 0.09 | 1.7x | 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) — 27-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)