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 11.5%, MDD -30.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.1%, drawdown -97.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.5%, MDD -30.0%, Sharpe 0.66, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.0%, MDD -59.0%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 67.8%p (CAGR 11.5%, MDD -30.0%, exposure 11%).
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=3.3 |
11.5% | -30.0% | 0.66 | 0.38 | 9.4x | 32 | 11% |
| SMA 크로스오버 fast=24, slow=60 |
14.0% | -59.0% | 0.46 | 0.24 | 15.0x | 84 | 47% |
| Donchian 채널 돌파 entryN=44, exitN=50 |
12.2% | -71.4% | 0.43 | 0.17 | 10.8x | 48 | 56% |
| ROC 모멘텀 n=59, threshold=0.14 |
11.8% | -61.7% | 0.42 | 0.19 | 9.9x | 186 | 30% |
| Supertrend period=12, mult=4.5 |
10.0% | -67.3% | 0.39 | 0.15 | 7.2x | 60 | 51% |
| EMA 크로스오버 fast=51, slow=82 |
9.5% | -77.4% | 0.38 | 0.12 | 6.5x | 46 | 51% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.8 |
9.1% | -59.7% | 0.36 | 0.15 | 6.0x | 82 | 31% |
| ADX / DI 방향성 period=16, threshold=35 |
4.4% | -37.3% | 0.34 | 0.12 | 2.4x | 46 | 9% |
| Parabolic SAR step=0.01, maxStep=0.38 |
0.7% | -78.8% | 0.21 | 0.01 | 1.1x | 258 | 46% |
| MACD fast=13, slow=41, signal=16 |
-3.4% | -94.6% | 0.12 | -0.04 | 0.5x | 279 | 51% |
| Buy and hold | 4.1% | -97.8% | 0.35 | 0.04 | 2.3x | 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 (3.3× volatility)
- Sell — Sell when the close falls back to the 25-day middle average