Trend-Following Backtester · Guide · backtest 한국어
etf · PL
Beta ETF WIG20lev Portfelowy Fundusz Inwestycyjny Zamkniety backtest
10 trend-following strategies were compared on the full daily history of Beta ETF WIG20lev Portfelowy Fundusz Inwestycyjny Zamkniety. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 27.6%, MDD -26.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 15.1%, drawdown -72.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.6%, MDD -27.9%, Sharpe 0.94, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 27.6%, MDD -26.7%, exposure 66%).
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=43, slow=181 |
28.6% | -27.9% | 0.94 | 1.02 | 5.0x | 5 | 65% |
| Donchian 채널 돌파 entryN=40, exitN=56 |
27.6% | -26.7% | 0.90 | 1.04 | 4.8x | 13 | 66% |
| EMA 크로스오버 fast=8, slow=132 |
25.5% | -33.6% | 0.87 | 0.76 | 4.3x | 11 | 63% |
| ROC 모멘텀 n=135, threshold=-0.02 |
26.4% | -38.5% | 0.85 | 0.68 | 4.5x | 21 | 70% |
| Supertrend period=15, mult=2.9 |
22.3% | -36.8% | 0.79 | 0.61 | 3.6x | 47 | 56% |
| MACD fast=6, slow=40, signal=18 |
15.4% | -38.7% | 0.65 | 0.40 | 2.5x | 113 | 49% |
| 볼린저 밴드 돌파 n=59, k=1 |
15.6% | -30.1% | 0.64 | 0.52 | 2.5x | 33 | 53% |
| Parabolic SAR step=0.01, maxStep=0.22 |
15.7% | -29.3% | 0.63 | 0.54 | 2.6x | 87 | 54% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=1.9 |
9.8% | -29.4% | 0.58 | 0.33 | 1.8x | 43 | 25% |
| ADX / DI 방향성 period=19, threshold=20 |
11.1% | -28.2% | 0.58 | 0.39 | 2.0x | 40 | 27% |
| Buy and hold | 15.1% | -72.9% | 0.54 | 0.21 | 2.5x | 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 43-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 43-day average falls below the 181-day average