Trend-Following Backtester · Guide · backtest 한국어
etf · PL
BETA ETF WIG40TR PORTFELOWY FUNDUSZ INWESTYCYJNY ZAMKNIETY A backtest
10 trend-following strategies were compared on the full daily history of BETA ETF WIG40TR PORTFELOWY FUNDUSZ INWESTYCYJNY ZAMKNIETY A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.9%, MDD -12.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.3%, drawdown -38.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.2%, MDD -14.5%, Sharpe 1.45, 71% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 19.9%, MDD -12.4%, exposure 75%).
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=29, slow=154 |
22.2% | -14.5% | 1.45 | 1.53 | 4.0x | 5 | 71% |
| Supertrend period=16, mult=5 |
19.9% | -12.4% | 1.39 | 1.60 | 3.5x | 15 | 75% |
| EMA 크로스오버 fast=4, slow=223 |
20.1% | -17.4% | 1.36 | 1.16 | 3.6x | 7 | 73% |
| Donchian 채널 돌파 entryN=112, exitN=23 |
15.8% | -10.4% | 1.34 | 1.52 | 2.8x | 13 | 50% |
| ROC 모멘텀 n=124, threshold=-0.03 |
19.8% | -20.9% | 1.30 | 0.95 | 3.5x | 9 | 73% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=25, mult=2.2 |
15.2% | -13.0% | 1.18 | 1.17 | 2.7x | 23 | 61% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
14.9% | -16.2% | 1.18 | 0.92 | 2.6x | 27 | 59% |
| ADX / DI 방향성 period=37, threshold=6 |
11.4% | -15.8% | 0.93 | 0.73 | 2.1x | 65 | 60% |
| Parabolic SAR step=0.005, maxStep=0.2 |
9.6% | -24.6% | 0.76 | 0.39 | 1.9x | 61 | 63% |
| MACD fast=15, slow=22, signal=19 |
5.4% | -27.5% | 0.50 | 0.19 | 1.4x | 93 | 49% |
| Buy and hold | 18.3% | -38.5% | 0.96 | 0.47 | 3.2x | 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 29-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 29-day average falls below the 154-day average