Trend-Following Backtester · Guide · backtest 한국어
equity · PL
PKO Bank Polski SA backtest
10 trend-following strategies were compared on the full daily history of PKO Bank Polski 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 11.7%, MDD -37.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.6%, drawdown -68.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -37.5%, Sharpe 0.59, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 11.7%, MDD -37.5%, exposure 57%).
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=38, slow=197 |
11.7% | -37.5% | 0.59 | 0.31 | 11.1x | 29 | 57% |
| Donchian 채널 돌파 entryN=64, exitN=95 |
11.5% | -41.4% | 0.56 | 0.28 | 10.6x | 23 | 68% |
| EMA 크로스오버 fast=52, slow=136 |
9.9% | -53.0% | 0.52 | 0.19 | 7.8x | 29 | 61% |
| ROC 모멘텀 n=157, threshold=-0.07 |
7.6% | -64.2% | 0.42 | 0.12 | 4.9x | 133 | 70% |
| Supertrend period=23, mult=4.4 |
4.7% | -61.9% | 0.32 | 0.08 | 2.7x | 71 | 54% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.7% | -67.0% | 0.14 | 0.01 | 1.2x | 185 | 54% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=2.5 |
0.8% | -51.6% | 0.13 | 0.02 | 1.2x | 93 | 32% |
| 볼린저 밴드 돌파 n=34, k=1.5 |
0.4% | -67.1% | 0.11 | 0.01 | 1.1x | 171 | 39% |
| ADX / DI 방향성 period=42, threshold=20 |
0.1% | -38.7% | 0.05 | 0.00 | 1.0x | 18 | 8% |
| MACD fast=16, slow=64, signal=23 |
-4.5% | -83.8% | -0.09 | -0.05 | 0.4x | 241 | 52% |
| Buy and hold | 7.6% | -68.0% | 0.38 | 0.11 | 4.9x | 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 38-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 38-day average falls below the 197-day average