Trend-Following Backtester · Guide · backtest 한국어
etf · PL
BETA ETF WIGtech Portfelowy Fundusz Inwestycyjny Zamkniety Series A B Units backtest
10 trend-following strategies were compared on the full daily history of BETA ETF WIGtech Portfelowy Fundusz Inwestycyjny Zamkniety Series A B Units. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -3.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.1%, drawdown -35.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -3.2%, Sharpe 0.97, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.9%, MDD -6.8%, exposure 64%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 0.7%, MDD -3.2%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=28 |
0.7% | -3.2% | 0.97 | 0.23 | 1.0x | 6 | 27% |
| SMA 크로스오버 fast=19, slow=121 |
4.9% | -6.8% | 0.73 | 0.72 | 1.3x | 3 | 64% |
| EMA 크로스오버 fast=23, slow=67 |
4.1% | -7.3% | 0.59 | 0.56 | 1.2x | 5 | 67% |
| Supertrend period=9, mult=4.5 |
3.1% | -9.8% | 0.41 | 0.32 | 1.2x | 11 | 66% |
| Donchian 채널 돌파 entryN=107, exitN=71 |
2.6% | -11.5% | 0.41 | 0.23 | 1.1x | 3 | 62% |
| ROC 모멘텀 n=55, threshold=-0.04 |
2.5% | -18.0% | 0.32 | 0.14 | 1.1x | 11 | 81% |
| 볼린저 밴드 돌파 n=38, k=2.7 |
1.2% | -6.9% | 0.27 | 0.18 | 1.1x | 8 | 43% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=4 |
0.7% | -7.1% | 0.17 | 0.10 | 1.0x | 7 | 47% |
| Parabolic SAR step=0.03, maxStep=0.08 |
-4.7% | -23.2% | -0.56 | -0.20 | 0.8x | 84 | 67% |
| MACD fast=17, slow=22, signal=17 |
-8.7% | -37.8% | -1.12 | -0.23 | 0.6x | 74 | 46% |
| Buy and hold | -1.1% | -35.6% | -0.03 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)