Trend-Following Backtester · Guide · backtest 한국어
equity · NL
InPost S.A. backtest
10 trend-following strategies were compared on the full daily history of InPost S.A.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.0%, MDD -15.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -80.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.0%, MDD -24.9%, Sharpe 1.06, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 26.1%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 14.0%, MDD -15.0%, exposure 37%).
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=36, slow=208 |
23.0% | -24.9% | 1.06 | 0.92 | 3.2x | 3 | 50% |
| EMA 크로스오버 fast=53, slow=109 |
17.2% | -24.9% | 0.87 | 0.69 | 2.4x | 5 | 50% |
| ROC 모멘텀 n=143, threshold=0.06 |
15.4% | -24.9% | 0.78 | 0.62 | 2.2x | 15 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=2.9 |
14.0% | -15.0% | 0.73 | 0.93 | 2.1x | 11 | 37% |
| Donchian 채널 돌파 entryN=78, exitN=17 |
14.0% | -15.0% | 0.72 | 0.93 | 2.1x | 11 | 31% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
11.9% | -17.7% | 0.62 | 0.67 | 1.9x | 15 | 41% |
| ADX / DI 방향성 period=33, threshold=15 |
8.9% | -24.2% | 0.54 | 0.37 | 1.6x | 27 | 36% |
| Supertrend period=14, mult=3.4 |
8.6% | -58.6% | 0.41 | 0.15 | 1.6x | 23 | 58% |
| MACD fast=10, slow=42, signal=19 |
1.8% | -54.5% | 0.21 | 0.03 | 1.1x | 64 | 43% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-2.9% | -48.1% | 0.06 | -0.06 | 0.8x | 131 | 50% |
| Buy and hold | -3.0% | -80.0% | 0.16 | -0.04 | 0.8x | 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 36-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 36-day average falls below the 208-day average