Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Niewiadow Polish Military Group Joint Stock Company backtest
10 trend-following strategies were compared on the full daily history of Niewiadow Polish Military Group Joint Stock Company. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 47.1%, MDD -74.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.4%, drawdown -99.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 60.4%, MDD -80.9%, Sharpe 0.99, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 52.0%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 47.1%, MDD -74.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=3.2 |
60.4% | -80.9% | 0.99 | 0.75 | 1235.0x | 32 | 20% |
| ROC 모멘텀 n=42, threshold=0.09 |
58.7% | -80.6% | 0.95 | 0.73 | 1051.5x | 130 | 28% |
| EMA 크로스오버 fast=32, slow=43 |
57.6% | -84.0% | 0.95 | 0.69 | 952.6x | 40 | 37% |
| SMA 크로스오버 fast=30, slow=85 |
56.2% | -88.8% | 0.93 | 0.63 | 828.6x | 36 | 37% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=3.7 |
47.5% | -79.0% | 0.87 | 0.60 | 349.0x | 44 | 24% |
| Donchian 채널 돌파 entryN=114, exitN=33 |
47.1% | -74.7% | 0.87 | 0.63 | 336.9x | 30 | 25% |
| ADX / DI 방향성 period=18, threshold=25 |
33.5% | -94.4% | 0.73 | 0.36 | 78.1x | 104 | 27% |
| Supertrend period=19, mult=3.6 |
25.4% | -95.8% | 0.66 | 0.26 | 30.2x | 112 | 44% |
| Parabolic SAR step=0.025, maxStep=0.28 |
18.1% | -94.5% | 0.57 | 0.19 | 12.2x | 206 | 40% |
| MACD fast=11, slow=39, signal=18 |
-8.9% | -99.3% | 0.30 | -0.09 | 0.2x | 195 | 55% |
| Buy and hold | 8.4% | -99.1% | 0.59 | 0.08 | 3.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 47-day middle average