Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Polimex - Mostostal SA backtest
10 trend-following strategies were compared on the full daily history of Polimex - Mostostal SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.1%, MDD -56.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.4%, drawdown -99.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.1%, MDD -56.9%, Sharpe 0.68, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.3%, MDD -67.2%, exposure 41%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.5%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 16.1%, MDD -56.9%, exposure 19%).
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=60, k=3.2 |
16.1% | -56.9% | 0.68 | 0.28 | 46.8x | 36 | 19% |
| EMA 크로스오버 fast=59, slow=148 |
18.3% | -67.2% | 0.65 | 0.27 | 76.9x | 24 | 41% |
| SMA 크로스오버 fast=48, slow=203 |
17.7% | -67.6% | 0.62 | 0.26 | 66.3x | 24 | 41% |
| Donchian 채널 돌파 entryN=129, exitN=47 |
15.5% | -63.5% | 0.61 | 0.24 | 41.2x | 30 | 28% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=1.8 |
14.9% | -74.5% | 0.58 | 0.20 | 36.3x | 115 | 31% |
| ADX / DI 방향성 period=33, threshold=20 |
11.9% | -72.8% | 0.54 | 0.16 | 18.1x | 84 | 21% |
| ROC 모멘텀 n=99, threshold=0.13 |
11.4% | -86.1% | 0.49 | 0.13 | 16.3x | 152 | 30% |
| Parabolic SAR step=0.005, maxStep=0.2 |
7.2% | -95.1% | 0.38 | 0.08 | 6.0x | 175 | 45% |
| Supertrend period=10, mult=5 |
7.1% | -94.5% | 0.37 | 0.07 | 5.8x | 77 | 49% |
| MACD fast=17, slow=42, signal=16 |
2.4% | -91.8% | 0.27 | 0.03 | 1.8x | 307 | 50% |
| Buy and hold | -4.4% | -99.8% | 0.24 | -0.04 | 0.3x | 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 60-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 60-day middle average