Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Asseco Poland S.A. backtest
10 trend-following strategies were compared on the full daily history of Asseco Poland S.A.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -34.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.5%, drawdown -95.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -47.8%, Sharpe 0.55, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 5.3%, MDD -34.8%, exposure 22%).
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=70, slow=131 |
10.8% | -47.8% | 0.55 | 0.23 | 15.4x | 47 | 49% |
| Donchian 채널 돌파 entryN=82, exitN=51 |
7.7% | -49.7% | 0.45 | 0.15 | 7.2x | 41 | 40% |
| ADX / DI 방향성 period=38, threshold=14 |
5.3% | -34.8% | 0.38 | 0.15 | 3.9x | 99 | 22% |
| EMA 크로스오버 fast=35, slow=203 |
6.3% | -59.6% | 0.37 | 0.11 | 5.1x | 41 | 51% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=24, mult=2.7 |
3.8% | -32.0% | 0.37 | 0.12 | 2.7x | 54 | 7% |
| Supertrend period=22, mult=5 |
3.1% | -67.1% | 0.24 | 0.05 | 2.3x | 75 | 50% |
| ROC 모멘텀 n=111, threshold=0.13 |
2.7% | -74.5% | 0.23 | 0.04 | 2.0x | 239 | 27% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
2.2% | -37.8% | 0.23 | 0.06 | 1.8x | 32 | 12% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.5% | -85.9% | 0.14 | 0.01 | 1.1x | 227 | 52% |
| MACD fast=19, slow=22, signal=12 |
-4.1% | -90.0% | -0.03 | -0.05 | 0.3x | 421 | 51% |
| Buy and hold | 4.5% | -95.2% | 0.30 | 0.05 | 3.3x | 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 70-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 70-day average falls below the 131-day average