Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Centrica plc backtest
10 trend-following strategies were compared on the full daily history of Centrica plc. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.5%, MDD -37.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.6%, drawdown -92.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -37.8%, Sharpe 0.36, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 54.7%p (CAGR 5.5%, MDD -37.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=153 |
5.5% | -37.8% | 0.36 | 0.15 | 4.8x | 32 | 53% |
| SMA 크로스오버 fast=44, slow=218 |
3.9% | -64.9% | 0.29 | 0.06 | 3.1x | 40 | 54% |
| ROC 모멘텀 n=182, threshold=-0.02 |
3.8% | -55.8% | 0.28 | 0.07 | 3.0x | 172 | 57% |
| Supertrend period=12, mult=5 |
3.4% | -71.5% | 0.26 | 0.05 | 2.7x | 64 | 54% |
| Donchian 채널 돌파 entryN=74, exitN=83 |
3.2% | -66.9% | 0.25 | 0.05 | 2.6x | 38 | 59% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=23, mult=4 |
0.8% | -9.0% | 0.25 | 0.09 | 1.3x | 6 | 2% |
| 볼린저 밴드 돌파 n=20, k=3.2 |
0.9% | -16.7% | 0.17 | 0.05 | 1.3x | 16 | 2% |
| ADX / DI 방향성 period=31, threshold=26 |
0.1% | -30.7% | 0.05 | 0.00 | 1.0x | 24 | 5% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.5% | -90.1% | -0.16 | -0.06 | 0.2x | 274 | 52% |
| MACD fast=17, slow=25, signal=13 |
-8.7% | -94.9% | -0.32 | -0.09 | 0.1x | 468 | 50% |
| Buy and hold | 2.6% | -92.5% | 0.24 | 0.03 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 153-day EMA
- Sell — Sell when the 58-day EMA falls below the 153-day EMA