Trend-Following Backtester · Guide · backtest 한국어
equity · PL
mBank SA backtest
10 trend-following strategies were compared on the full daily history of mBank SA. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.4%, MDD -43.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.0%, drawdown -84.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.4%, MDD -43.8%, Sharpe 0.70, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 16.4%, MDD -43.8%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=206 |
16.4% | -43.8% | 0.70 | 0.37 | 57.4x | 29 | 59% |
| EMA 크로스오버 fast=31, slow=173 |
13.3% | -47.6% | 0.60 | 0.28 | 27.6x | 37 | 60% |
| Donchian 채널 돌파 entryN=97, exitN=78 |
11.3% | -50.1% | 0.55 | 0.22 | 17.2x | 35 | 54% |
| Supertrend period=21, mult=5 |
10.0% | -71.7% | 0.48 | 0.14 | 12.7x | 75 | 64% |
| ROC 모멘텀 n=32, threshold=-0.04 |
8.9% | -76.5% | 0.43 | 0.12 | 9.6x | 406 | 70% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.1 |
6.0% | -70.1% | 0.37 | 0.09 | 4.8x | 136 | 39% |
| MACD fast=13, slow=25, signal=18 |
5.8% | -68.0% | 0.34 | 0.08 | 4.5x | 388 | 50% |
| ADX / DI 방향성 period=25, threshold=14 |
5.2% | -54.3% | 0.34 | 0.10 | 3.9x | 274 | 37% |
| Parabolic SAR step=0.015, maxStep=0.34 |
4.9% | -82.3% | 0.31 | 0.06 | 3.5x | 434 | 53% |
| 볼린저 밴드 돌파 n=13, k=2.1 |
2.6% | -69.7% | 0.23 | 0.04 | 2.0x | 278 | 24% |
| Buy and hold | 9.0% | -84.6% | 0.41 | 0.11 | 9.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 47-day average falls below the 206-day average