Trend-Following Backtester · Guide · backtest 한국어
etf · PL
Beta ETF WIG20TRlev Portfelowy backtest
10 trend-following strategies were compared on the full daily history of Beta ETF WIG20TRlev Portfelowy. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 30.3%, MDD -26.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 17.2%, drawdown -72.9%).
Sharpe leader (same as main): Supertrend — CAGR 32.3%, MDD -31.1%, Sharpe 0.98, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 30.3%, MDD -26.7%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.6 |
32.3% | -31.1% | 0.98 | 1.04 | 6.3x | 21 | 64% |
| Donchian 채널 돌파 entryN=40, exitN=46 |
30.3% | -26.7% | 0.97 | 1.13 | 5.7x | 13 | 67% |
| SMA 크로스오버 fast=41, slow=192 |
29.6% | -28.5% | 0.96 | 1.04 | 5.5x | 5 | 66% |
| EMA 크로스오버 fast=7, slow=132 |
27.3% | -33.6% | 0.92 | 0.81 | 4.9x | 11 | 64% |
| ROC 모멘텀 n=138, threshold=-0.03 |
28.3% | -43.5% | 0.90 | 0.65 | 5.2x | 19 | 71% |
| ADX / DI 방향성 period=15, threshold=22 |
15.6% | -25.2% | 0.74 | 0.62 | 2.6x | 43 | 29% |
| Parabolic SAR step=0.01, maxStep=0.34 |
17.5% | -29.3% | 0.68 | 0.60 | 2.9x | 89 | 54% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=36, mult=1.4 |
13.1% | -26.4% | 0.67 | 0.50 | 2.3x | 69 | 35% |
| 볼린저 밴드 돌파 n=44, k=1.1 |
15.9% | -31.1% | 0.66 | 0.51 | 2.6x | 45 | 50% |
| MACD fast=14, slow=44, signal=7 |
15.5% | -40.9% | 0.65 | 0.38 | 2.6x | 116 | 50% |
| Buy and hold | 17.2% | -72.9% | 0.58 | 0.24 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)