Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Seplat Energy PLC backtest
10 trend-following strategies were compared on the full daily history of Seplat Energy PLC. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.5%, MDD -39.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.4%, drawdown -85.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.2%, MDD -47.6%, Sharpe 0.66, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 13.5%, MDD -39.5%, exposure 45%).
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=129, slow=163 |
16.2% | -47.6% | 0.66 | 0.34 | 6.4x | 7 | 54% |
| Donchian 채널 돌파 entryN=114, exitN=71 |
13.5% | -39.5% | 0.60 | 0.34 | 4.7x | 13 | 45% |
| SMA 크로스오버 fast=42, slow=188 |
14.2% | -42.6% | 0.60 | 0.33 | 5.1x | 15 | 55% |
| ROC 모멘텀 n=148, threshold=0.06 |
10.6% | -40.2% | 0.50 | 0.26 | 3.5x | 71 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
11.2% | -45.9% | 0.50 | 0.24 | 3.7x | 216 | 50% |
| 볼린저 밴드 돌파 n=20, k=1.4 |
9.7% | -48.6% | 0.49 | 0.20 | 3.1x | 132 | 37% |
| Supertrend period=28, mult=2.1 |
10.6% | -50.5% | 0.48 | 0.21 | 3.4x | 132 | 47% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=17, mult=1.3 |
5.1% | -56.7% | 0.32 | 0.09 | 1.8x | 98 | 39% |
| ADX / DI 방향성 period=38, threshold=11 |
4.5% | -56.7% | 0.30 | 0.08 | 1.7x | 102 | 46% |
| MACD fast=21, slow=32, signal=11 |
2.8% | -69.7% | 0.24 | 0.04 | 1.4x | 165 | 49% |
| Buy and hold | 8.4% | -85.0% | 0.40 | 0.10 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 129-day EMA crosses above the 163-day EMA
- Sell — Sell when the 129-day EMA falls below the 163-day EMA