Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Tullow Oil plc backtest
10 trend-following strategies were compared on the full daily history of Tullow Oil plc. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.7%, MDD -71.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.3%, drawdown -99.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -71.5%, Sharpe 0.46, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 10.7%, MDD -71.5%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=162 |
10.7% | -71.5% | 0.46 | 0.15 | 44.5x | 53 | 55% |
| Donchian 채널 돌파 entryN=105, exitN=114 |
7.3% | -79.9% | 0.37 | 0.09 | 13.9x | 41 | 52% |
| EMA 크로스오버 fast=23, slow=113 |
6.6% | -73.7% | 0.35 | 0.09 | 10.8x | 109 | 55% |
| Supertrend period=3, mult=5 |
6.0% | -86.8% | 0.34 | 0.07 | 9.0x | 255 | 55% |
| 볼린저 밴드 돌파 n=92, k=1.1 |
5.6% | -79.5% | 0.32 | 0.07 | 7.5x | 137 | 43% |
| MACD fast=23, slow=40, signal=14 |
3.1% | -95.5% | 0.27 | 0.03 | 3.1x | 403 | 51% |
| ROC 모멘텀 n=148, threshold=0.07 |
3.5% | -86.1% | 0.26 | 0.04 | 3.7x | 297 | 46% |
| ADX / DI 방향성 period=35, threshold=12 |
3.4% | -85.5% | 0.26 | 0.04 | 3.6x | 295 | 39% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=11, mult=1.6 |
1.5% | -74.7% | 0.20 | 0.02 | 1.8x | 285 | 42% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-3.3% | -98.2% | 0.10 | -0.03 | 0.3x | 581 | 51% |
| Buy and hold | 1.3% | -99.7% | 0.32 | 0.01 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 40-day average falls below the 162-day average