Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Aptus Value Housing Finance India Limited backtest
10 trend-following strategies were compared on the full daily history of Aptus Value Housing Finance India Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.0%, MDD -7.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -6.5%, drawdown -50.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -27.6%, Sharpe 0.21, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 1.0%, MDD -7.1%, exposure 3%).
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=50, slow=53 |
2.2% | -27.6% | 0.21 | 0.08 | 1.1x | 47 | 47% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
1.0% | -7.1% | 0.20 | 0.14 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=17, exitN=72 |
-1.6% | -32.6% | 0.09 | -0.05 | 0.9x | 11 | 76% |
| ROC 모멘텀 n=68, threshold=-0.09 |
-3.2% | -34.9% | 0.02 | -0.09 | 0.9x | 39 | 67% |
| Supertrend period=23, mult=4.2 |
-3.2% | -37.3% | 0.00 | -0.09 | 0.8x | 14 | 61% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=3.1 |
-0.2% | -10.9% | -0.04 | -0.02 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=18, threshold=25 |
-2.3% | -19.0% | -0.13 | -0.12 | 0.9x | 18 | 11% |
| MACD fast=19, slow=56, signal=19 |
-6.9% | -48.1% | -0.19 | -0.14 | 0.7x | 50 | 45% |
| EMA 크로스오버 fast=32, slow=97 |
-7.1% | -38.4% | -0.21 | -0.18 | 0.7x | 14 | 46% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-10.0% | -50.5% | -0.32 | -0.20 | 0.6x | 42 | 45% |
| Buy and hold | -6.5% | -50.2% | -0.01 | -0.13 | 0.7x | 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 50-day average price crosses above the 53-day average
- Sell — Sell (to cash) when the 50-day average falls below the 53-day average