Trend-Following Backtester · Guide · backtest 한국어
equity · PL
XTB Spolka Akcyjna backtest
10 trend-following strategies were compared on the full daily history of XTB Spolka Akcyjna. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 38.8%, MDD -47.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 30.2%, drawdown -80.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 37.5%, MDD -53.1%, Sharpe 1.04, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 38.8%, MDD -47.2%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 38.8%, MDD -47.2%, exposure 58%).
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=17, slow=74 |
37.5% | -53.1% | 1.04 | 0.71 | 26.7x | 31 | 53% |
| Donchian 채널 돌파 entryN=75, exitN=88 |
38.8% | -47.2% | 1.04 | 0.82 | 29.4x | 9 | 58% |
| EMA 크로스오버 fast=39, slow=120 |
37.9% | -48.0% | 1.02 | 0.79 | 27.5x | 15 | 59% |
| Supertrend period=15, mult=4.8 |
33.1% | -55.8% | 0.98 | 0.59 | 19.1x | 25 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=3.1 |
25.4% | -53.7% | 0.95 | 0.47 | 10.4x | 25 | 22% |
| ROC 모멘텀 n=84, threshold=-0.01 |
31.6% | -56.2% | 0.90 | 0.56 | 17.1x | 69 | 56% |
| 볼린저 밴드 돌파 n=42, k=2.4 |
27.3% | -51.0% | 0.89 | 0.54 | 12.1x | 41 | 36% |
| ADX / DI 방향성 period=29, threshold=26 |
16.6% | -42.3% | 0.74 | 0.39 | 4.9x | 13 | 10% |
| Parabolic SAR step=0.015, maxStep=0.12 |
10.8% | -70.7% | 0.47 | 0.15 | 2.9x | 151 | 51% |
| MACD fast=19, slow=43, signal=18 |
9.9% | -81.8% | 0.45 | 0.12 | 2.7x | 111 | 53% |
| Buy and hold | 30.2% | -80.1% | 0.79 | 0.38 | 15.2x | 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 17-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 17-day average falls below the 74-day average