Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Dino Polska SA backtest
10 trend-following strategies were compared on the full daily history of Dino Polska SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.3%, MDD -36.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.2%, drawdown -50.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.3%, MDD -36.2%, Sharpe 0.82, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 14.2%p (CAGR 21.3%, MDD -36.2%, exposure 61%).
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=40, slow=73 |
21.3% | -36.2% | 0.82 | 0.59 | 6.1x | 23 | 61% |
| Supertrend period=26, mult=5 |
19.3% | -39.3% | 0.76 | 0.49 | 5.2x | 21 | 69% |
| Donchian 채널 돌파 entryN=28, exitN=53 |
19.9% | -42.1% | 0.75 | 0.47 | 5.5x | 21 | 74% |
| ADX / DI 방향성 period=33, threshold=33 |
3.1% | -6.2% | 0.71 | 0.50 | 1.3x | 2 | 3% |
| EMA 크로스오버 fast=47, slow=84 |
16.6% | -37.5% | 0.67 | 0.44 | 4.2x | 14 | 66% |
| ROC 모멘텀 n=60, threshold=-0.02 |
15.1% | -41.0% | 0.63 | 0.37 | 3.7x | 85 | 67% |
| MACD fast=20, slow=35, signal=23 |
8.5% | -37.8% | 0.46 | 0.22 | 2.1x | 101 | 50% |
| Parabolic SAR step=0.015, maxStep=0.32 |
8.9% | -36.9% | 0.45 | 0.24 | 2.2x | 173 | 53% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=2.3 |
7.1% | -33.9% | 0.45 | 0.21 | 1.9x | 53 | 36% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
6.9% | -40.9% | 0.40 | 0.17 | 1.9x | 45 | 48% |
| Buy and hold | 27.2% | -50.4% | 0.84 | 0.54 | 9.5x | 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 40-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 40-day average falls below the 73-day average