Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Grupa Azoty Spolka Akcyjna backtest
10 trend-following strategies were compared on the full daily history of Grupa Azoty Spolka Akcyjna. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -14.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.1%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -53.0%, Sharpe 0.58, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 1.7%, MDD -14.1%, exposure 2%).
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=32, slow=94 |
13.6% | -53.0% | 0.58 | 0.26 | 10.0x | 48 | 50% |
| EMA 크로스오버 fast=30, slow=35 |
9.5% | -56.1% | 0.46 | 0.17 | 5.1x | 74 | 51% |
| Supertrend period=20, mult=4.2 |
8.8% | -56.1% | 0.44 | 0.16 | 4.6x | 64 | 52% |
| MACD fast=20, slow=81, signal=26 |
7.5% | -73.8% | 0.39 | 0.10 | 3.7x | 136 | 48% |
| Donchian 채널 돌파 entryN=40, exitN=39 |
6.5% | -79.4% | 0.36 | 0.08 | 3.1x | 48 | 51% |
| 볼린저 밴드 돌파 n=37, k=2.1 |
4.3% | -62.2% | 0.30 | 0.07 | 2.1x | 90 | 28% |
| ROC 모멘텀 n=51, threshold=0.02 |
4.5% | -74.6% | 0.30 | 0.06 | 2.2x | 212 | 46% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=2.1 |
4.1% | -52.5% | 0.29 | 0.08 | 2.1x | 104 | 29% |
| ADX / DI 방향성 period=24, threshold=32 |
1.7% | -14.1% | 0.29 | 0.12 | 1.4x | 8 | 2% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.1% | -87.7% | -0.01 | -0.05 | 0.5x | 292 | 47% |
| Buy and hold | 1.1% | -85.9% | 0.23 | 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 32-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 32-day average falls below the 94-day average