Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Orange Polska S.A. backtest
10 trend-following strategies were compared on the full daily history of Orange Polska S.A.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.6%, MDD -4.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -89.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -10.3%, Sharpe 0.22, 1% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.6%, MDD -4.8%, exposure 0%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 79.0%p (CAGR 0.6%, MDD -4.8%, exposure 0%).
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=26, threshold=39 |
0.6% | -10.3% | 0.22 | 0.06 | 1.2x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=24, mult=3.7 |
0.6% | -4.8% | 0.22 | 0.13 | 1.2x | 2 | 0% |
| SMA 크로스오버 fast=52, slow=303 |
0.4% | -74.2% | 0.12 | 0.00 | 1.1x | 25 | 47% |
| Supertrend period=17, mult=3.5 |
-0.1% | -67.9% | 0.10 | -0.00 | 1.0x | 127 | 48% |
| 볼린저 밴드 돌파 n=56, k=2 |
-0.4% | -71.4% | 0.05 | -0.01 | 0.9x | 94 | 29% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.9% | -82.5% | 0.02 | -0.02 | 0.6x | 215 | 49% |
| EMA 크로스오버 fast=59, slow=196 |
-1.8% | -84.7% | 0.01 | -0.02 | 0.6x | 37 | 48% |
| Donchian 채널 돌파 entryN=57, exitN=23 |
-1.8% | -74.6% | -0.03 | -0.02 | 0.6x | 76 | 33% |
| MACD fast=23, slow=32, signal=20 |
-5.3% | -88.9% | -0.14 | -0.06 | 0.2x | 283 | 50% |
| ROC 모멘텀 n=129, threshold=-0.02 |
-8.3% | -94.3% | -0.29 | -0.09 | 0.1x | 297 | 54% |
| Buy and hold | -2.2% | -89.3% | 0.09 | -0.02 | 0.6x | 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, 26-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)