Trend-Following Backtester · Guide · backtest 한국어
equity · PL
BNP Paribas Bank Polska Spolka Akcyjna backtest
10 trend-following strategies were compared on the full daily history of BNP Paribas Bank Polska Spolka Akcyjna. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -30.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.3%, drawdown -58.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -46.0%, Sharpe 0.52, 78% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 12.7%p (CAGR 6.6%, MDD -30.6%, exposure 29%).
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=11, exitN=52 |
12.4% | -46.0% | 0.52 | 0.27 | 5.9x | 43 | 78% |
| 볼린저 밴드 돌파 n=50, k=2 |
6.6% | -30.6% | 0.45 | 0.21 | 2.6x | 56 | 29% |
| ADX / DI 방향성 period=12, threshold=37 |
4.8% | -26.0% | 0.44 | 0.18 | 2.0x | 72 | 17% |
| SMA 크로스오버 fast=24, slow=181 |
8.7% | -41.9% | 0.42 | 0.21 | 3.5x | 33 | 60% |
| EMA 크로스오버 fast=47, slow=77 |
6.7% | -54.2% | 0.36 | 0.12 | 2.7x | 33 | 59% |
| MACD fast=16, slow=52, signal=10 |
6.6% | -42.4% | 0.36 | 0.15 | 2.6x | 176 | 47% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=3.9 |
3.8% | -27.6% | 0.34 | 0.14 | 1.8x | 32 | 23% |
| Supertrend period=25, mult=5 |
3.9% | -40.4% | 0.28 | 0.10 | 1.8x | 41 | 51% |
| ROC 모멘텀 n=48, threshold=0.08 |
3.2% | -39.5% | 0.27 | 0.08 | 1.6x | 146 | 29% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.4% | -48.5% | 0.21 | 0.05 | 1.4x | 214 | 53% |
| Buy and hold | 6.3% | -58.7% | 0.34 | 0.11 | 2.5x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 52 days