Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Shell Plc backtest
10 trend-following strategies were compared on the full daily history of Shell Plc. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.8%, MDD -29.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR -1.2%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.8%, MDD -29.9%, Sharpe 0.31, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 56.0%p (CAGR 3.8%, MDD -29.9%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=134, slow=330 |
3.8% | -29.9% | 0.31 | 0.13 | 3.1x | 23 | 55% |
| EMA 크로스오버 fast=52, slow=286 |
-0.5% | -65.0% | 0.04 | -0.01 | 0.8x | 45 | 54% |
| Donchian 채널 돌파 entryN=39, exitN=102 |
-3.7% | -90.1% | -0.01 | -0.04 | 0.3x | 55 | 68% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=29, mult=3.9 |
-1.1% | -52.0% | -0.07 | -0.02 | 0.7x | 66 | 13% |
| ROC 모멘텀 n=141, threshold=-0.04 |
-5.9% | -93.0% | -0.11 | -0.06 | 0.2x | 259 | 68% |
| ADX / DI 방향성 period=28, threshold=23 |
-1.4% | -51.1% | -0.14 | -0.03 | 0.7x | 74 | 12% |
| 볼린저 밴드 돌파 n=43, k=3.1 |
-1.4% | -54.1% | -0.15 | -0.03 | 0.7x | 42 | 9% |
| Supertrend period=12, mult=4.8 |
-6.8% | -94.5% | -0.17 | -0.07 | 0.1x | 159 | 51% |
| MACD fast=17, slow=50, signal=18 |
-8.5% | -96.5% | -0.24 | -0.09 | 0.1x | 333 | 51% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-10.5% | -97.1% | -0.34 | -0.11 | 0.0x | 613 | 51% |
| Buy and hold | -1.2% | -85.9% | 0.14 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 134-day average price crosses above the 330-day average
- Sell — Sell (to cash) when the 134-day average falls below the 330-day average