Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Tullow Oil plc backtest
10 trend-following strategies were compared on the full daily history of Tullow Oil plc. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.8%, MDD -71.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.5%, drawdown -99.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -71.5%, Sharpe 0.44, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 9.8%, MDD -71.5%, 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=40, slow=162 |
9.8% | -71.5% | 0.44 | 0.14 | 33.2x | 53 | 55% |
| Donchian 채널 돌파 entryN=105, exitN=114 |
6.5% | -79.9% | 0.35 | 0.08 | 10.3x | 41 | 52% |
| EMA 크로스오버 fast=23, slow=113 |
5.7% | -73.7% | 0.33 | 0.08 | 8.1x | 109 | 55% |
| Supertrend period=3, mult=5 |
5.6% | -86.8% | 0.33 | 0.06 | 7.6x | 254 | 55% |
| 볼린저 밴드 돌파 n=92, k=1.1 |
5.1% | -79.5% | 0.31 | 0.06 | 6.4x | 136 | 43% |
| ADX / DI 방향성 period=35, threshold=12 |
3.4% | -85.5% | 0.26 | 0.04 | 3.5x | 294 | 39% |
| MACD fast=23, slow=40, signal=14 |
2.3% | -95.5% | 0.25 | 0.02 | 2.3x | 403 | 50% |
| ROC 모멘텀 n=148, threshold=0.07 |
2.7% | -86.1% | 0.24 | 0.03 | 2.7x | 297 | 46% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=11, mult=1.6 |
1.1% | -74.7% | 0.19 | 0.01 | 1.5x | 284 | 42% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-4.1% | -98.2% | 0.08 | -0.04 | 0.2x | 581 | 51% |
| Buy and hold | 0.5% | -99.7% | 0.31 | 0.01 | 1.2x | 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 40-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 40-day average falls below the 162-day average