Trend-Following Backtester · Guide · backtest 한국어
equity · GB
EnQuest PLC backtest
10 trend-following strategies were compared on the full daily history of EnQuest PLC. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -25.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -94.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -36.3%, Sharpe 0.56, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 57.7%p (CAGR 5.3%, MDD -25.5%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.1 |
9.1% | -36.3% | 0.56 | 0.25 | 4.2x | 26 | 8% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=2.6 |
5.3% | -25.5% | 0.42 | 0.21 | 2.3x | 28 | 5% |
| Donchian 채널 돌파 entryN=34, exitN=15 |
6.1% | -55.5% | 0.34 | 0.11 | 2.7x | 69 | 31% |
| MACD fast=17, slow=27, signal=10 |
3.7% | -86.6% | 0.29 | 0.04 | 1.8x | 248 | 50% |
| SMA 크로스오버 fast=12, slow=61 |
3.8% | -68.7% | 0.28 | 0.06 | 1.8x | 91 | 47% |
| Supertrend period=16, mult=3.4 |
3.5% | -79.4% | 0.28 | 0.04 | 1.8x | 76 | 49% |
| EMA 크로스오버 fast=24, slow=25 |
2.3% | -79.1% | 0.24 | 0.03 | 1.5x | 101 | 47% |
| ROC 모멘텀 n=44, threshold=0.01 |
0.9% | -77.4% | 0.21 | 0.01 | 1.2x | 247 | 45% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-2.8% | -71.2% | 0.12 | -0.04 | 0.6x | 352 | 49% |
| ADX / DI 방향성 period=20, threshold=35 |
0.4% | -48.4% | 0.09 | 0.01 | 1.1x | 16 | 3% |
| Buy and hold | -6.9% | -94.0% | 0.15 | -0.07 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 23-day middle average