Trend-Following Backtester · Guide · backtest 한국어
equity · PL
KGHM Polska Miedz S.A. backtest
10 trend-following strategies were compared on the full daily history of KGHM Polska Miedz S.A.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.4%, MDD -40.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.2%, drawdown -85.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.7%, MDD -43.8%, Sharpe 0.69, 23% exposure.
CAGR reference leader: Supertrend — CAGR 13.2%, MDD -62.3%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 12.4%, MDD -40.8%, exposure 21%).
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=78, exitN=10 |
12.7% | -43.8% | 0.69 | 0.29 | 24.1x | 88 | 23% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
12.4% | -40.8% | 0.68 | 0.30 | 22.7x | 46 | 21% |
| ADX / DI 방향성 period=20, threshold=26 |
9.4% | -32.7% | 0.62 | 0.29 | 10.9x | 62 | 13% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=9, mult=3 |
10.9% | -59.1% | 0.62 | 0.18 | 15.8x | 86 | 21% |
| ROC 모멘텀 n=111, threshold=0.11 |
13.0% | -43.9% | 0.60 | 0.30 | 26.0x | 189 | 36% |
| Supertrend period=24, mult=3.6 |
13.2% | -62.3% | 0.57 | 0.21 | 27.4x | 145 | 53% |
| MACD fast=31, slow=56, signal=18 |
12.4% | -56.4% | 0.54 | 0.22 | 22.7x | 223 | 53% |
| SMA 크로스오버 fast=15, slow=209 |
11.7% | -54.2% | 0.53 | 0.22 | 18.9x | 59 | 50% |
| EMA 크로스오버 fast=12, slow=160 |
11.6% | -60.7% | 0.53 | 0.19 | 18.9x | 77 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
10.1% | -73.1% | 0.47 | 0.14 | 13.1x | 215 | 54% |
| Buy and hold | 10.2% | -85.0% | 0.44 | 0.12 | 13.3x | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 10 days