Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Serica Energy PLC backtest
10 trend-following strategies were compared on the full daily history of Serica Energy PLC. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.4%, MDD -30.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.4%, drawdown -97.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.4%, MDD -30.0%, Sharpe 0.68, 13% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.0%, MDD -86.4%, exposure 79%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 67.8%p (CAGR 12.4%, MDD -30.0%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.2 |
12.4% | -30.0% | 0.68 | 0.41 | 11.5x | 42 | 13% |
| Donchian 채널 돌파 entryN=15, exitN=74 |
14.0% | -86.4% | 0.47 | 0.16 | 15.4x | 49 | 79% |
| SMA 크로스오버 fast=36, slow=55 |
12.4% | -66.1% | 0.43 | 0.19 | 11.3x | 103 | 48% |
| ADX / DI 방향성 period=13, threshold=39 |
5.3% | -34.2% | 0.40 | 0.16 | 2.9x | 60 | 8% |
| ROC 모멘텀 n=59, threshold=0.12 |
10.2% | -67.8% | 0.39 | 0.15 | 7.6x | 205 | 32% |
| Supertrend period=12, mult=4.5 |
9.7% | -67.3% | 0.38 | 0.14 | 6.9x | 61 | 51% |
| EMA 크로스오버 fast=54, slow=83 |
9.4% | -77.0% | 0.38 | 0.12 | 6.5x | 47 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=1.7 |
8.4% | -64.0% | 0.35 | 0.13 | 5.4x | 90 | 32% |
| Parabolic SAR step=0.01, maxStep=0.02 |
4.3% | -80.9% | 0.28 | 0.05 | 2.4x | 119 | 45% |
| MACD fast=11, slow=25, signal=16 |
-1.8% | -90.6% | 0.16 | -0.02 | 0.7x | 322 | 51% |
| Buy and hold | 4.4% | -97.8% | 0.35 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 25-day middle average