Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Gielda Papierow Wartosciowych w Warszawie S.A. backtest
10 trend-following strategies were compared on the full daily history of Gielda Papierow Wartosciowych w Warszawie S.A.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.8%, drawdown -44.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -48.7%, Sharpe 0.34, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=45, slow=198 |
4.6% | -48.7% | 0.34 | 0.09 | 2.0x | 23 | 50% |
| ROC 모멘텀 n=117, threshold=0.14 |
2.2% | -40.7% | 0.25 | 0.05 | 1.4x | 77 | 19% |
| EMA 크로스오버 fast=52, slow=60 |
2.8% | -42.1% | 0.24 | 0.07 | 1.5x | 39 | 53% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.6% | -13.2% | 0.17 | 0.04 | 1.1x | 10 | 4% |
| Donchian 채널 돌파 entryN=71, exitN=64 |
0.6% | -60.4% | 0.12 | 0.01 | 1.1x | 31 | 51% |
| Supertrend period=19, mult=3.7 |
-1.6% | -62.4% | 0.00 | -0.03 | 0.8x | 85 | 55% |
| MACD fast=17, slow=38, signal=13 |
-1.4% | -50.6% | -0.00 | -0.03 | 0.8x | 204 | 50% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-2.0% | -53.4% | -0.04 | -0.04 | 0.7x | 194 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.3 |
-2.7% | -64.9% | -0.12 | -0.04 | 0.6x | 85 | 38% |
| ADX / DI 방향성 period=19, threshold=12 |
-6.5% | -77.1% | -0.33 | -0.08 | 0.3x | 257 | 46% |
| Buy and hold | 3.8% | -44.8% | 0.27 | 0.08 | 1.8x | 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 45-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 45-day average falls below the 198-day average