Trend-Following Backtester · Guide · backtest 한국어
equity · PL
XTB Spolka Akcyjna backtest
10 trend-following strategies were compared on the full daily history of XTB Spolka Akcyjna. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 36.3%, MDD -47.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 27.8%, drawdown -80.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 35.0%, MDD -53.1%, Sharpe 0.99, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 36.3%, MDD -47.2%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 36.3%, MDD -47.2%, exposure 58%).
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=17, slow=74 |
35.0% | -53.1% | 0.99 | 0.66 | 21.6x | 31 | 53% |
| Donchian 채널 돌파 entryN=75, exitN=88 |
36.3% | -47.2% | 0.99 | 0.77 | 23.8x | 9 | 58% |
| EMA 크로스오버 fast=39, slow=120 |
35.4% | -48.0% | 0.97 | 0.74 | 22.2x | 15 | 59% |
| Supertrend period=15, mult=4.8 |
30.6% | -55.8% | 0.93 | 0.55 | 15.4x | 25 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=3.1 |
23.1% | -53.7% | 0.88 | 0.43 | 8.4x | 25 | 21% |
| ROC 모멘텀 n=84, threshold=-0.01 |
29.2% | -56.2% | 0.85 | 0.52 | 13.8x | 69 | 55% |
| 볼린저 밴드 돌파 n=42, k=2.4 |
24.9% | -51.0% | 0.84 | 0.49 | 9.7x | 41 | 36% |
| ADX / DI 방향성 period=29, threshold=26 |
15.3% | -42.3% | 0.70 | 0.36 | 4.3x | 12 | 10% |
| Parabolic SAR step=0.015, maxStep=0.12 |
9.6% | -70.7% | 0.44 | 0.14 | 2.6x | 149 | 50% |
| MACD fast=19, slow=43, signal=18 |
7.7% | -81.8% | 0.39 | 0.09 | 2.1x | 111 | 53% |
| Buy and hold | 27.8% | -80.1% | 0.75 | 0.35 | 12.3x | 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 17-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 17-day average falls below the 74-day average