Trend-Following Backtester · Guide · backtest 한국어
equity · PL
ING Bank Slaski S.A. backtest
10 trend-following strategies were compared on the full daily history of ING Bank Slaski S.A.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.6%, MDD -27.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.8%, drawdown -83.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -47.9%, Sharpe 0.71, 81% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 14.6%, MDD -27.6%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=30, exitN=108 |
16.5% | -47.9% | 0.71 | 0.34 | 58.1x | 27 | 81% |
| SMA 크로스오버 fast=23, slow=197 |
14.6% | -27.6% | 0.69 | 0.53 | 37.4x | 35 | 67% |
| EMA 크로스오버 fast=24, slow=132 |
14.3% | -37.2% | 0.68 | 0.38 | 35.0x | 39 | 67% |
| ROC 모멘텀 n=147, threshold=-0.04 |
10.7% | -38.5% | 0.54 | 0.28 | 14.8x | 131 | 72% |
| Supertrend period=24, mult=5 |
8.9% | -40.5% | 0.49 | 0.22 | 9.6x | 69 | 63% |
| Parabolic SAR step=0.005, maxStep=0.2 |
5.1% | -60.9% | 0.33 | 0.08 | 3.7x | 195 | 58% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=1.6 |
4.6% | -78.6% | 0.33 | 0.06 | 3.3x | 160 | 44% |
| 볼린저 밴드 돌파 n=24, k=2 |
4.0% | -67.8% | 0.32 | 0.06 | 2.9x | 212 | 34% |
| ADX / DI 방향성 period=27, threshold=15 |
3.3% | -63.1% | 0.27 | 0.05 | 2.3x | 215 | 31% |
| MACD fast=17, slow=59, signal=19 |
-2.1% | -83.6% | 0.01 | -0.03 | 0.6x | 322 | 51% |
| Buy and hold | 10.8% | -83.1% | 0.48 | 0.13 | 15.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 30 days
- Sell — Sell when price breaks below the lowest low of the last 108 days