Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Gulf Keystone Petroleum Limited backtest
10 trend-following strategies were compared on the full daily history of Gulf Keystone Petroleum Limited. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.1%, MDD -55.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.1%, MDD -55.1%, Sharpe 0.53, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.0%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 12.1%, MDD -55.1%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=13, threshold=37 |
12.1% | -55.1% | 0.53 | 0.22 | 12.4x | 76 | 10% |
| SMA 크로스오버 fast=72, slow=208 |
11.6% | -66.7% | 0.43 | 0.17 | 11.2x | 20 | 41% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
8.6% | -75.5% | 0.41 | 0.11 | 6.1x | 49 | 15% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=14, mult=3.8 |
7.9% | -62.5% | 0.41 | 0.13 | 5.3x | 22 | 7% |
| MACD fast=16, slow=58, signal=21 |
8.7% | -90.7% | 0.39 | 0.10 | 6.3x | 201 | 51% |
| Donchian 채널 돌파 entryN=56, exitN=34 |
9.0% | -85.0% | 0.38 | 0.11 | 6.6x | 47 | 36% |
| ROC 모멘텀 n=191, threshold=0.12 |
7.7% | -72.6% | 0.37 | 0.11 | 5.1x | 106 | 35% |
| EMA 크로스오버 fast=24, slow=84 |
5.0% | -75.1% | 0.31 | 0.07 | 2.9x | 59 | 38% |
| Supertrend period=27, mult=3.9 |
-0.4% | -88.2% | 0.21 | -0.00 | 0.9x | 85 | 47% |
| Parabolic SAR step=0.05, maxStep=0.22 |
-9.5% | -99.3% | 0.04 | -0.10 | 0.1x | 729 | 47% |
| Buy and hold | -10.9% | -99.7% | 0.19 | -0.11 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 13-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)