Trend-Following Backtester · Guide · backtest 한국어
equity · GB
DCC Energy plc backtest
10 trend-following strategies were compared on the full daily history of DCC Energy plc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -64.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.6%, MDD -68.2%, Sharpe 0.36, 85% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.6%, MDD -56.6%, exposure 60%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=119 |
4.6% | -68.2% | 0.36 | 0.07 | 3.3x | 37 | 85% |
| SMA 크로스오버 fast=42, slow=278 |
4.6% | -56.6% | 0.33 | 0.08 | 3.3x | 31 | 60% |
| EMA 크로스오버 fast=52, slow=210 |
2.7% | -78.5% | 0.30 | 0.03 | 2.0x | 41 | 62% |
| ADX / DI 방향성 period=47, threshold=22 |
1.1% | -18.3% | 0.22 | 0.06 | 1.3x | 17 | 7% |
| ROC 모멘텀 Hold-like · Exposure 98% n=2, threshold=-0.09 |
-9.2% | -99.4% | 0.13 | -0.09 | 0.1x | 177 | 98% |
| Supertrend period=16, mult=5 |
-7.3% | -94.7% | 0.10 | -0.08 | 0.1x | 105 | 62% |
| MACD fast=27, slow=41, signal=38 |
-13.7% | -98.4% | -0.06 | -0.14 | 0.0x | 234 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-16.3% | -99.6% | -0.13 | -0.16 | 0.0x | 251 | 55% |
| 볼린저 밴드 돌파 n=41, k=3.4 |
-2.0% | -47.8% | -0.16 | -0.04 | 0.6x | 24 | 6% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=26, mult=4 |
-5.3% | -84.4% | -0.34 | -0.06 | 0.2x | 46 | 7% |
| Buy and hold | 9.4% | -64.1% | 0.45 | 0.15 | 10.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 119 days