Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Grupa Azoty Spolka Akcyjna backtest
10 trend-following strategies were compared on the full daily history of Grupa Azoty Spolka Akcyjna. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -14.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.0%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -53.0%, Sharpe 0.58, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 1.7%, MDD -14.1%, exposure 2%).
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=32, slow=94 |
13.4% | -53.0% | 0.58 | 0.25 | 9.9x | 49 | 50% |
| EMA 크로스오버 fast=30, slow=35 |
9.9% | -56.1% | 0.47 | 0.18 | 5.6x | 75 | 51% |
| Supertrend period=20, mult=4.2 |
9.0% | -56.1% | 0.44 | 0.16 | 4.8x | 65 | 52% |
| MACD fast=20, slow=81, signal=26 |
8.1% | -73.8% | 0.41 | 0.11 | 4.1x | 137 | 48% |
| Donchian 채널 돌파 entryN=40, exitN=39 |
6.9% | -79.4% | 0.37 | 0.09 | 3.4x | 49 | 51% |
| 볼린저 밴드 돌파 n=37, k=2.1 |
4.9% | -62.2% | 0.33 | 0.08 | 2.4x | 91 | 28% |
| ROC 모멘텀 n=51, threshold=0.02 |
4.9% | -74.6% | 0.31 | 0.07 | 2.4x | 213 | 46% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=2.1 |
4.3% | -52.5% | 0.30 | 0.08 | 2.2x | 105 | 29% |
| ADX / DI 방향성 period=24, threshold=32 |
1.7% | -14.1% | 0.29 | 0.12 | 1.4x | 8 | 2% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.2% | -87.7% | 0.03 | -0.04 | 0.6x | 293 | 47% |
| Buy and hold | 2.0% | -85.9% | 0.25 | 0.02 | 1.4x | 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 32-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 32-day average falls below the 94-day average