Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Harbour Energy Plc backtest
10 trend-following strategies were compared on the full daily history of Harbour Energy Plc. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.0%, MDD -14.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.9%, drawdown -71.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.0%, MDD -14.2%, Sharpe 0.70, 11% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 57.3%p (CAGR 12.0%, MDD -14.2%, exposure 11%).
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=17, k=2.6 |
12.0% | -14.2% | 0.70 | 0.85 | 1.8x | 14 | 11% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=1.4 |
9.6% | -20.4% | 0.53 | 0.47 | 1.6x | 32 | 21% |
| Donchian 채널 돌파 entryN=16, exitN=28 |
0.6% | -40.7% | 0.18 | 0.01 | 1.0x | 27 | 59% |
| Supertrend period=7, mult=3 |
-1.0% | -50.0% | 0.11 | -0.02 | 0.9x | 29 | 47% |
| ADX / DI 방향성 period=18, threshold=15 |
-1.5% | -38.6% | 0.05 | -0.04 | 0.9x | 64 | 25% |
| SMA 크로스오버 fast=73, slow=194 |
-2.7% | -58.3% | 0.04 | -0.05 | 0.9x | 7 | 42% |
| MACD fast=7, slow=38, signal=11 |
-4.5% | -62.9% | 0.00 | -0.07 | 0.8x | 102 | 48% |
| ROC 모멘텀 n=9, threshold=0.1 |
-1.7% | -28.6% | -0.05 | -0.06 | 0.9x | 76 | 9% |
| Parabolic SAR step=0.03, maxStep=0.36 |
-9.0% | -63.9% | -0.17 | -0.14 | 0.6x | 162 | 48% |
| EMA 크로스오버 fast=26, slow=31 |
-10.5% | -58.5% | -0.25 | -0.18 | 0.5x | 33 | 44% |
| Buy and hold | -8.9% | -71.5% | 0.01 | -0.12 | 0.6x | 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 17-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 17-day middle average