Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Sed Energy Holdings PLC backtest
10 trend-following strategies were compared on the full daily history of Sed Energy Holdings PLC. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -39.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -51.1%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.1%, MDD -39.1%, Sharpe 0.44, 3% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 59.3%p higher than buy and hold, while drawdown improves by 60.9%p (CAGR 8.1%, MDD -39.1%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=3.8 |
8.1% | -39.1% | 0.44 | 0.21 | 4.9x | 14 | 3% |
| Donchian 채널 돌파 entryN=83, exitN=9 |
5.9% | -55.9% | 0.34 | 0.11 | 3.2x | 38 | 12% |
| ADX / DI 방향성 period=20, threshold=29 |
5.5% | -47.6% | 0.32 | 0.12 | 3.0x | 40 | 11% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
4.3% | -85.5% | 0.31 | 0.05 | 2.3x | 46 | 20% |
| EMA 크로스오버 fast=18, slow=66 |
0.9% | -81.8% | 0.21 | 0.01 | 1.2x | 52 | 31% |
| Supertrend period=23, mult=3.3 |
-0.5% | -83.2% | 0.19 | -0.01 | 0.9x | 78 | 31% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-4.3% | -88.3% | 0.19 | -0.05 | 0.4x | 273 | 39% |
| SMA 크로스오버 fast=15, slow=72 |
-3.8% | -93.3% | 0.14 | -0.04 | 0.5x | 76 | 34% |
| ROC 모멘텀 n=53, threshold=0.12 |
-2.4% | -82.7% | 0.13 | -0.03 | 0.6x | 180 | 22% |
| MACD fast=19, slow=43, signal=14 |
-36.9% | -100.0% | -0.22 | -0.37 | 0.0x | 221 | 55% |
| Buy and hold | -51.1% | -100.0% | -0.26 | -0.51 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average