Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Erste Bank Polska S.A. backtest
10 trend-following strategies were compared on the full daily history of Erste Bank Polska S.A.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -36.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.9%, drawdown -79.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, MDD -46.7%, Sharpe 0.72, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 12.1%, MDD -36.8%, exposure 62%).
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=79, exitN=77 |
16.4% | -46.7% | 0.72 | 0.35 | 46.0x | 25 | 68% |
| EMA 크로스오버 fast=78, slow=130 |
13.4% | -38.1% | 0.61 | 0.35 | 23.5x | 29 | 67% |
| SMA 크로스오버 fast=18, slow=157 |
12.1% | -36.8% | 0.57 | 0.33 | 17.8x | 53 | 62% |
| ROC 모멘텀 n=90, threshold=-0.02 |
8.8% | -73.8% | 0.45 | 0.12 | 8.4x | 237 | 68% |
| Supertrend period=8, mult=5 |
7.1% | -64.2% | 0.40 | 0.11 | 5.7x | 67 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=1.2 |
4.8% | -67.0% | 0.32 | 0.07 | 3.3x | 185 | 49% |
| 볼린저 밴드 돌파 n=77, k=1.2 |
4.8% | -60.2% | 0.32 | 0.08 | 3.2x | 117 | 49% |
| ADX / DI 방향성 period=28, threshold=14 |
4.0% | -60.1% | 0.29 | 0.07 | 2.7x | 205 | 36% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.6% | -87.7% | 0.01 | -0.03 | 0.5x | 450 | 54% |
| MACD fast=14, slow=29, signal=17 |
-3.6% | -85.4% | -0.03 | -0.04 | 0.4x | 352 | 51% |
| Buy and hold | 11.9% | -79.5% | 0.49 | 0.15 | 16.9x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 77 days