Trend-Following Backtester · Guide · backtest 한국어
equity · GB
BP PLC backtest
10 trend-following strategies were compared on the full daily history of BP PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -72.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.9%, MDD -74.6%, Sharpe 0.27, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
3.9% | -74.6% | 0.27 | 0.05 | 4.2x | 9 | 100% |
| EMA 크로스오버 fast=41, slow=85 |
1.7% | -66.8% | 0.18 | 0.02 | 1.9x | 97 | 60% |
| SMA 크로스오버 fast=28, slow=145 |
1.6% | -66.7% | 0.18 | 0.02 | 1.8x | 88 | 60% |
| Donchian 채널 돌파 entryN=14, exitN=50 |
0.5% | -71.1% | 0.13 | 0.01 | 1.2x | 149 | 77% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
0.1% | -14.8% | 0.05 | 0.01 | 1.0x | 18 | 2% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.1% | -70.4% | 0.03 | -0.02 | 0.7x | 327 | 54% |
| MACD fast=18, slow=55, signal=17 |
-2.2% | -78.5% | -0.02 | -0.03 | 0.4x | 447 | 51% |
| Supertrend period=10, mult=4 |
-2.2% | -78.1% | -0.03 | -0.03 | 0.4x | 243 | 52% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=24, mult=2.6 |
-1.3% | -45.1% | -0.11 | -0.03 | 0.6x | 161 | 13% |
| ADX / DI 방향성 period=26, threshold=24 |
-1.1% | -46.3% | -0.14 | -0.02 | 0.7x | 56 | 6% |
| Buy and hold | 3.9% | -72.8% | 0.28 | 0.05 | 4.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -10%
- Sell — Sell when the 1-day return drops to -10% or below