Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Bank Handlowy w Warszawie S.A. backtest
10 trend-following strategies were compared on the full daily history of Bank Handlowy w Warszawie S.A.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.5%, MDD -46.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.3%, drawdown -79.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.5%, MDD -46.7%, Sharpe 0.31, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 4.5%, MDD -46.7%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=214 |
4.5% | -46.7% | 0.31 | 0.10 | 3.3x | 35 | 53% |
| Donchian 채널 돌파 entryN=53, exitN=38 |
3.6% | -64.3% | 0.28 | 0.06 | 2.6x | 67 | 50% |
| Supertrend period=34, mult=4.9 |
3.6% | -65.5% | 0.27 | 0.06 | 2.6x | 70 | 53% |
| SMA 크로스오버 fast=8, slow=100 |
3.2% | -54.7% | 0.25 | 0.06 | 2.3x | 117 | 53% |
| ROC 모멘텀 n=177, threshold=-0.08 |
2.6% | -73.5% | 0.22 | 0.04 | 2.0x | 173 | 67% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
1.0% | -16.1% | 0.22 | 0.06 | 1.3x | 18 | 4% |
| ADX / DI 방향성 period=22, threshold=19 |
0.8% | -60.3% | 0.12 | 0.01 | 1.2x | 168 | 20% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=2.2 |
-0.8% | -69.7% | 0.03 | -0.01 | 0.8x | 122 | 34% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.6% | -80.7% | -0.03 | -0.03 | 0.5x | 332 | 52% |
| MACD fast=16, slow=50, signal=15 |
-3.5% | -85.0% | -0.07 | -0.04 | 0.4x | 328 | 52% |
| Buy and hold | 2.3% | -79.9% | 0.23 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 214-day EMA
- Sell — Sell when the 38-day EMA falls below the 214-day EMA