Trend-Following Backtester · Guide · backtest 한국어
equity · PL
ORLEN Spolka Akcyjna backtest
10 trend-following strategies were compared on the full daily history of ORLEN Spolka Akcyjna. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -37.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.6%, drawdown -72.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -37.7%, Sharpe 0.56, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 10.8%, MDD -37.7%, exposure 53%).
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=45, slow=139 |
10.8% | -37.7% | 0.56 | 0.28 | 15.1x | 41 | 53% |
| Donchian 채널 돌파 entryN=78, exitN=67 |
9.0% | -51.2% | 0.50 | 0.18 | 9.9x | 37 | 51% |
| EMA 크로스오버 fast=33, slow=84 |
8.7% | -56.1% | 0.47 | 0.15 | 9.2x | 57 | 55% |
| ROC 모멘텀 n=143, threshold=0.14 |
5.6% | -61.5% | 0.38 | 0.09 | 4.2x | 161 | 35% |
| Supertrend period=23, mult=4.8 |
4.5% | -47.0% | 0.30 | 0.09 | 3.2x | 87 | 52% |
| ADX / DI 방향성 period=32, threshold=18 |
2.7% | -37.3% | 0.26 | 0.07 | 2.0x | 96 | 22% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
2.1% | -49.9% | 0.21 | 0.04 | 1.8x | 84 | 29% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.5% | -64.8% | 0.18 | 0.02 | 1.5x | 227 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=1.6 |
1.4% | -68.9% | 0.17 | 0.02 | 1.5x | 177 | 41% |
| MACD fast=20, slow=50, signal=21 |
-0.1% | -71.9% | 0.11 | -0.00 | 1.0x | 267 | 52% |
| Buy and hold | 6.6% | -72.1% | 0.36 | 0.09 | 5.5x | 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 45-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 45-day average falls below the 139-day average