Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Bank Polska Kasa Opieki S.A. backtest
10 trend-following strategies were compared on the full daily history of Bank Polska Kasa Opieki S.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -66.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.7%, drawdown -84.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -66.5%, Sharpe 0.34, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 18.0%p (CAGR 5.6%, MDD -66.5%, exposure 56%).
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=55, slow=174 |
5.6% | -66.5% | 0.34 | 0.08 | 4.3x | 43 | 56% |
| EMA 크로스오버 fast=56, slow=194 |
5.0% | -67.0% | 0.32 | 0.07 | 3.6x | 37 | 58% |
| ROC 모멘텀 n=172, threshold=-0.09 |
4.5% | -82.8% | 0.30 | 0.05 | 3.3x | 145 | 74% |
| Donchian 채널 돌파 entryN=68, exitN=79 |
4.3% | -70.2% | 0.29 | 0.06 | 3.0x | 43 | 59% |
| ADX / DI 방향성 period=50, threshold=19 |
1.4% | -18.1% | 0.21 | 0.08 | 1.5x | 12 | 7% |
| Supertrend period=26, mult=4.3 |
1.8% | -70.7% | 0.19 | 0.02 | 1.6x | 103 | 54% |
| 볼린저 밴드 돌파 n=53, k=3 |
-0.5% | -43.5% | 0.01 | -0.01 | 0.9x | 30 | 11% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-3.9% | -90.1% | -0.05 | -0.04 | 0.4x | 458 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=2.3 |
-2.9% | -89.9% | -0.07 | -0.03 | 0.5x | 136 | 32% |
| MACD fast=13, slow=53, signal=8 |
-6.5% | -92.3% | -0.17 | -0.07 | 0.2x | 469 | 49% |
| Buy and hold | 5.7% | -84.5% | 0.33 | 0.07 | 4.4x | 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 55-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 55-day average falls below the 174-day average