Trend-Following Backtester · Guide · backtest 한국어

equity · PL

Powszechny Zaklad Ubezpieczen Spolka Akcyjna backtest

10 trend-following strategies were compared on the full daily history of Powszechny Zaklad Ubezpieczen Spolka Akcyjna. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -32.9%).

Data 2010-05-11 ~ 2026-07-31daily bars 4,156 (16.2 years)Costs 0.5%Venue GPWMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 5.0%, drawdown -59.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -32.9%, Sharpe 0.42, 45% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 5.6%, MDD -32.9%, exposure 45%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=118, exitN=72
5.6%-32.9%0.420.172.4x1745%
EMA 크로스오버
fast=25, slow=146
5.2%-44.5%0.370.122.3x2954%
SMA 크로스오버
fast=41, slow=231
4.4%-45.2%0.330.102.0x2552%
ADX / DI 방향성
period=26, threshold=17
2.6%-30.5%0.270.081.5x9826%
Supertrend
period=19, mult=3.7
3.0%-51.1%0.250.061.6x7353%
볼린저 밴드 돌파
n=44, k=3.3
0.9%-11.5%0.180.071.1x85%
ROC 모멘텀
n=126, threshold=0.02
1.4%-33.7%0.170.041.3x13548%
Keltner 채널 돌파
emaPeriod=22, atrPeriod=21, mult=3.2
0.7%-14.8%0.150.051.1x247%
MACD
fast=16, slow=34, signal=12
-2.2%-67.0%-0.03-0.030.7x22151%
Parabolic SAR
step=0.02, maxStep=0.12
-6.3%-85.3%-0.26-0.070.3x33254%
Buy and hold5.0%-59.8%0.310.082.2x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -30% -45% -60% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -32.9% (2013-08-02 → 2014-07-08), recovered after 1,369 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next