Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rockhopper Exploration plc backtest
10 trend-following strategies were compared on the full daily history of Rockhopper Exploration plc. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.5%, MDD -73.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.9%, drawdown -99.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -73.4%, Sharpe 0.56, 28% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 16.5%, MDD -73.4%, exposure 28%).
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=99, exitN=30 |
16.5% | -73.4% | 0.56 | 0.22 | 24.5x | 32 | 28% |
| 볼린저 밴드 돌파 n=47, k=1.5 |
15.2% | -77.0% | 0.51 | 0.20 | 19.3x | 114 | 32% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=1.1 |
12.0% | -80.7% | 0.45 | 0.15 | 10.8x | 124 | 34% |
| EMA 크로스오버 fast=34, slow=185 |
11.0% | -75.4% | 0.44 | 0.15 | 8.9x | 29 | 46% |
| SMA 크로스오버 fast=8, slow=211 |
10.3% | -79.0% | 0.42 | 0.13 | 7.8x | 48 | 47% |
| ROC 모멘텀 n=86, threshold=0.02 |
10.0% | -87.3% | 0.42 | 0.11 | 7.4x | 212 | 43% |
| Parabolic SAR step=0.04, maxStep=0.22 |
8.3% | -92.8% | 0.39 | 0.09 | 5.4x | 660 | 46% |
| MACD fast=15, slow=47, signal=12 |
5.6% | -88.7% | 0.34 | 0.06 | 3.2x | 251 | 50% |
| Supertrend period=10, mult=5 |
4.8% | -97.7% | 0.34 | 0.05 | 2.7x | 43 | 57% |
| ADX / DI 방향성 period=34, threshold=16 |
4.8% | -89.5% | 0.30 | 0.05 | 2.7x | 96 | 28% |
| Buy and hold | 0.9% | -99.2% | 0.36 | 0.01 | 1.2x | 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 99 days
- Sell — Sell when price breaks below the lowest low of the last 30 days