Trend-Following Backtester · Guide · backtest 한국어
equity · PL
TAURON Polska Energia S.A. backtest
10 trend-following strategies were compared on the full daily history of TAURON Polska Energia S.A.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -21.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.6%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.3%, MDD -22.3%, Sharpe 0.67, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.8%, MDD -43.7%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 65.3%p (CAGR 8.0%, MDD -21.9%, exposure 7%).
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=31, k=2.8 |
11.3% | -22.3% | 0.67 | 0.51 | 5.6x | 42 | 16% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=27, mult=3.7 |
8.0% | -21.9% | 0.66 | 0.37 | 3.5x | 14 | 7% |
| Donchian 채널 돌파 entryN=29, exitN=21 |
13.8% | -43.7% | 0.65 | 0.32 | 8.0x | 66 | 42% |
| SMA 크로스오버 fast=17, slow=58 |
11.2% | -56.9% | 0.53 | 0.20 | 5.5x | 74 | 50% |
| EMA 크로스오버 fast=17, slow=30 |
10.7% | -60.6% | 0.52 | 0.18 | 5.1x | 88 | 49% |
| ADX / DI 방향성 period=16, threshold=29 |
7.8% | -38.1% | 0.50 | 0.20 | 3.3x | 60 | 13% |
| Supertrend period=16, mult=3.5 |
9.2% | -61.7% | 0.46 | 0.15 | 4.1x | 80 | 53% |
| ROC 모멘텀 n=21, threshold=0.25 |
3.9% | -29.3% | 0.42 | 0.13 | 1.8x | 38 | 3% |
| MACD fast=22, slow=51, signal=19 |
3.9% | -77.4% | 0.27 | 0.05 | 1.9x | 159 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
0.1% | -83.3% | 0.13 | 0.00 | 1.0x | 260 | 48% |
| Buy and hold | 3.6% | -87.5% | 0.28 | 0.04 | 1.8x | 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 31-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 31-day middle average