Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Piraeus Bank S.A. backtest
10 trend-following strategies were compared on the full daily history of Piraeus Bank S.A.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.5%, MDD -63.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.0%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -72.2%, Sharpe 0.49, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 34.9%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 7.5%, MDD -63.6%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=42, exitN=15 |
9.9% | -72.2% | 0.49 | 0.14 | 46.3x | 155 | 36% |
| 볼린저 밴드 돌파 n=46, k=2.3 |
8.8% | -68.8% | 0.46 | 0.13 | 31.2x | 125 | 25% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=17, mult=2.7 |
7.5% | -63.6% | 0.42 | 0.12 | 18.8x | 136 | 29% |
| Supertrend period=13, mult=4.9 |
8.4% | -77.0% | 0.41 | 0.11 | 26.4x | 139 | 45% |
| EMA 크로스오버 fast=39, slow=175 |
7.1% | -75.0% | 0.41 | 0.09 | 16.2x | 51 | 42% |
| SMA 크로스오버 fast=22, slow=201 |
6.2% | -88.7% | 0.36 | 0.07 | 11.4x | 63 | 45% |
| ADX / DI 방향성 period=14, threshold=22 |
5.4% | -86.2% | 0.33 | 0.06 | 8.4x | 352 | 27% |
| ROC 모멘텀 n=148, threshold=0.02 |
5.3% | -93.3% | 0.33 | 0.06 | 8.2x | 143 | 32% |
| Parabolic SAR step=0.005, maxStep=0.16 |
5.0% | -84.0% | 0.31 | 0.06 | 7.3x | 283 | 50% |
| MACD fast=17, slow=58, signal=17 |
-6.6% | -99.5% | 0.04 | -0.07 | 0.1x | 383 | 52% |
| Buy and hold | -25.0% | -100.0% | -0.19 | -0.25 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 42 days
- Sell — Sell when price breaks below the lowest low of the last 15 days