Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Cyfrowy Polsat SA backtest
10 trend-following strategies were compared on the full daily history of Cyfrowy Polsat SA. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -11.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.0%, drawdown -74.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.4%, MDD -4.9%, Sharpe 0.24, 0% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.1%, MDD -11.7%, exposure 2%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 69.4%p (CAGR 1.1%, MDD -11.7%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=4, threshold=0.14 |
0.4% | -4.9% | 0.24 | 0.09 | 1.1x | 16 | 0% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=19, mult=2.5 |
1.1% | -11.7% | 0.24 | 0.10 | 1.2x | 16 | 2% |
| Donchian 채널 돌파 entryN=40, exitN=79 |
-1.3% | -60.8% | 0.06 | -0.02 | 0.8x | 37 | 65% |
| SMA 크로스오버 fast=39, slow=207 |
-1.3% | -52.7% | 0.04 | -0.02 | 0.8x | 35 | 52% |
| EMA 크로스오버 fast=66, slow=173 |
-1.8% | -54.7% | 0.03 | -0.03 | 0.7x | 27 | 56% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
-0.3% | -30.8% | -0.01 | -0.01 | 0.9x | 22 | 4% |
| ADX / DI 방향성 period=32, threshold=21 |
-0.4% | -20.0% | -0.06 | -0.02 | 0.9x | 18 | 4% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.0% | -68.4% | -0.09 | -0.06 | 0.5x | 144 | 50% |
| Supertrend period=28, mult=3.1 |
-4.5% | -73.9% | -0.11 | -0.06 | 0.4x | 101 | 52% |
| MACD fast=23, slow=30, signal=21 |
-4.9% | -81.0% | -0.13 | -0.06 | 0.4x | 222 | 51% |
| Buy and hold | 1.0% | -74.2% | 0.19 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than 14%
- Sell — Sell when the 4-day return drops to 14% or below