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 5.9%, MDD -32.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.2%, drawdown -59.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -32.9%, Sharpe 0.43, 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 5.9%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=118, exitN=72 |
5.9% | -32.9% | 0.43 | 0.18 | 2.5x | 17 | 45% |
| EMA 크로스오버 fast=25, slow=146 |
5.4% | -44.5% | 0.39 | 0.12 | 2.4x | 29 | 54% |
| SMA 크로스오버 fast=41, slow=231 |
4.6% | -45.2% | 0.35 | 0.10 | 2.1x | 25 | 53% |
| ADX / DI 방향성 period=26, threshold=17 |
2.7% | -30.5% | 0.28 | 0.09 | 1.5x | 99 | 26% |
| Supertrend period=19, mult=3.7 |
3.3% | -51.1% | 0.27 | 0.06 | 1.7x | 73 | 53% |
| 볼린저 밴드 돌파 n=44, k=3.3 |
0.9% | -11.5% | 0.18 | 0.07 | 1.1x | 8 | 5% |
| ROC 모멘텀 n=126, threshold=0.02 |
1.4% | -33.7% | 0.17 | 0.04 | 1.3x | 137 | 48% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=3.2 |
0.7% | -14.8% | 0.15 | 0.05 | 1.1x | 24 | 7% |
| MACD fast=16, slow=34, signal=12 |
-2.1% | -67.0% | -0.03 | -0.03 | 0.7x | 222 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-6.3% | -85.3% | -0.27 | -0.07 | 0.3x | 335 | 54% |
| Buy and hold | 5.2% | -59.8% | 0.32 | 0.09 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 118 days
- Sell — Sell when price breaks below the lowest low of the last 72 days