Trend-Following Backtester · Guide · backtest 한국어
equity · IN
AARTI Industries Ltd backtest
10 trend-following strategies were compared on the full daily history of AARTI Industries Ltd. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.4%, MDD -49.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 24.1%, drawdown -73.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 28.4%, MDD -49.6%, Sharpe 0.88, 74% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 28.4%, MDD -49.6%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=199, threshold=-0.08 |
28.4% | -49.6% | 0.88 | 0.57 | 420.2x | 83 | 74% |
| EMA 크로스오버 fast=53, slow=216 |
23.5% | -70.8% | 0.80 | 0.33 | 164.7x | 17 | 68% |
| SMA 크로스오버 fast=15, slow=173 |
21.8% | -68.9% | 0.76 | 0.32 | 116.5x | 45 | 66% |
| Donchian 채널 돌파 entryN=58, exitN=105 |
20.8% | -69.3% | 0.71 | 0.30 | 96.9x | 25 | 74% |
| Supertrend period=16, mult=5 |
18.3% | -56.0% | 0.70 | 0.33 | 57.9x | 55 | 58% |
| 볼린저 밴드 돌파 n=47, k=2.1 |
14.4% | -39.5% | 0.65 | 0.36 | 25.7x | 107 | 38% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=0.9 |
14.1% | -52.4% | 0.60 | 0.27 | 24.1x | 197 | 51% |
| MACD fast=16, slow=52, signal=17 |
12.8% | -63.4% | 0.56 | 0.20 | 18.3x | 259 | 51% |
| ADX / DI 방향성 period=11, threshold=18 |
12.4% | -56.0% | 0.54 | 0.22 | 17.0x | 427 | 50% |
| Parabolic SAR step=0.03, maxStep=0.3 |
11.2% | -58.9% | 0.51 | 0.19 | 12.9x | 622 | 52% |
| Buy and hold | 24.1% | -73.7% | 0.74 | 0.33 | 182.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 199-day return is greater than -8%
- Sell — Sell when the 199-day return drops to -8% or below