Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Niewiadow Polish Military Group Joint Stock Company backtest
10 trend-following strategies were compared on the full daily history of Niewiadow Polish Military Group Joint Stock Company. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 46.8%, MDD -74.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.5%, drawdown -99.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 59.9%, MDD -80.9%, Sharpe 0.99, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 49.4%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 46.8%, MDD -74.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=3.2 |
59.9% | -80.9% | 0.99 | 0.74 | 1225.1x | 33 | 20% |
| ROC 모멘텀 n=42, threshold=0.09 |
59.6% | -80.6% | 0.96 | 0.74 | 1194.5x | 131 | 28% |
| EMA 크로스오버 fast=32, slow=43 |
57.8% | -84.0% | 0.95 | 0.69 | 1005.9x | 41 | 37% |
| SMA 크로스오버 fast=30, slow=85 |
55.8% | -88.8% | 0.93 | 0.63 | 828.6x | 36 | 37% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=3.7 |
47.1% | -79.0% | 0.87 | 0.60 | 346.2x | 45 | 24% |
| Donchian 채널 돌파 entryN=114, exitN=33 |
46.8% | -74.7% | 0.86 | 0.63 | 336.9x | 30 | 25% |
| ADX / DI 방향성 period=18, threshold=25 |
35.0% | -94.4% | 0.75 | 0.37 | 94.6x | 105 | 27% |
| Supertrend period=19, mult=3.6 |
26.5% | -95.8% | 0.67 | 0.28 | 35.3x | 113 | 44% |
| Parabolic SAR step=0.025, maxStep=0.28 |
19.5% | -94.5% | 0.59 | 0.21 | 14.8x | 207 | 40% |
| MACD fast=11, slow=39, signal=18 |
-7.0% | -99.3% | 0.32 | -0.07 | 0.3x | 195 | 56% |
| Buy and hold | 10.5% | -99.1% | 0.61 | 0.11 | 4.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 47-day middle average