Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Jastrzebska Spolka Weglowa S.A. backtest
10 trend-following strategies were compared on the full daily history of Jastrzebska Spolka Weglowa S.A.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.4%, MDD -41.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.9%, drawdown -93.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.4%, MDD -41.8%, Sharpe 0.54, 11% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.9%, MDD -63.1%, exposure 33%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 10.4%, MDD -41.8%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=13, threshold=33 |
10.4% | -41.8% | 0.54 | 0.25 | 4.5x | 49 | 11% |
| EMA 크로스오버 fast=56, slow=184 |
12.9% | -63.1% | 0.51 | 0.20 | 6.3x | 15 | 33% |
| 볼린저 밴드 돌파 n=21, k=2 |
10.9% | -66.2% | 0.48 | 0.16 | 4.8x | 105 | 24% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=19, mult=1.7 |
10.3% | -67.7% | 0.47 | 0.15 | 4.4x | 93 | 23% |
| SMA 크로스오버 fast=46, slow=219 |
10.9% | -76.6% | 0.45 | 0.14 | 4.8x | 20 | 36% |
| MACD fast=16, slow=73, signal=30 |
10.4% | -75.1% | 0.44 | 0.14 | 4.5x | 113 | 50% |
| Donchian 채널 돌파 entryN=94, exitN=61 |
8.8% | -74.8% | 0.41 | 0.12 | 3.6x | 17 | 33% |
| ROC 모멘텀 n=137, threshold=0.01 |
7.8% | -82.3% | 0.38 | 0.09 | 3.1x | 119 | 37% |
| Supertrend period=20, mult=4.3 |
2.8% | -70.1% | 0.25 | 0.04 | 1.5x | 61 | 36% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-0.8% | -77.2% | 0.16 | -0.01 | 0.9x | 257 | 46% |
| Buy and hold | -8.9% | -93.8% | 0.09 | -0.10 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 13-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)