Trend-Following Backtester · Guide · backtest 한국어
equity · PL
PGE Polska Grupa Energetyczna S.A. backtest
10 trend-following strategies were compared on the full daily history of PGE Polska Grupa Energetyczna S.A.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.5%, MDD -14.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.3%, drawdown -89.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.5%, MDD -14.8%, Sharpe 0.36, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 74.3%p (CAGR 2.5%, MDD -14.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=3.8 |
2.5% | -14.8% | 0.36 | 0.17 | 1.5x | 4 | 1% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
1.9% | -20.1% | 0.22 | 0.09 | 1.4x | 8 | 4% |
| ADX / DI 방향성 period=37, threshold=18 |
1.7% | -40.6% | 0.19 | 0.04 | 1.3x | 30 | 8% |
| ROC 모멘텀 n=51, threshold=0.14 |
1.7% | -38.6% | 0.18 | 0.04 | 1.3x | 122 | 16% |
| MACD fast=11, slow=59, signal=21 |
0.0% | -81.1% | 0.13 | 0.00 | 1.0x | 189 | 50% |
| SMA 크로스오버 fast=24, slow=57 |
-1.7% | -74.3% | 0.05 | -0.02 | 0.7x | 78 | 47% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.1% | -78.1% | -0.03 | -0.05 | 0.5x | 139 | 48% |
| Donchian 채널 돌파 entryN=119, exitN=6 |
-0.9% | -36.3% | -0.04 | -0.03 | 0.9x | 36 | 8% |
| Supertrend period=28, mult=4.2 |
-4.4% | -79.0% | -0.05 | -0.06 | 0.5x | 73 | 47% |
| EMA 크로스오버 fast=28, slow=155 |
-5.7% | -68.9% | -0.14 | -0.08 | 0.4x | 38 | 40% |
| Buy and hold | -5.3% | -89.1% | 0.04 | -0.06 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average