Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Balkrishna Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Balkrishna Industries Limited. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.9%, MDD -42.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 15.7%, drawdown -89.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.6%, MDD -43.1%, Sharpe 0.79, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 18.9%, MDD -42.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=6, slow=124 |
19.6% | -43.1% | 0.79 | 0.45 | 39.8x | 71 | 58% |
| SMA 크로스오버 fast=3, slow=126 |
19.4% | -42.8% | 0.78 | 0.45 | 38.8x | 91 | 57% |
| Supertrend period=8, mult=4.6 |
18.9% | -42.0% | 0.76 | 0.45 | 35.4x | 51 | 60% |
| Donchian 채널 돌파 entryN=65, exitN=37 |
17.7% | -50.5% | 0.76 | 0.35 | 28.7x | 37 | 49% |
| ADX / DI 방향성 period=35, threshold=27 |
7.8% | -20.8% | 0.72 | 0.38 | 4.7x | 16 | 10% |
| ROC 모멘텀 n=83, threshold=-0.01 |
17.2% | -53.4% | 0.70 | 0.32 | 26.1x | 201 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=1.7 |
14.5% | -36.5% | 0.68 | 0.40 | 16.1x | 99 | 44% |
| 볼린저 밴드 돌파 n=36, k=2.7 |
12.3% | -32.9% | 0.66 | 0.37 | 10.9x | 77 | 31% |
| Parabolic SAR step=0.01, maxStep=0.38 |
12.3% | -57.6% | 0.57 | 0.21 | 10.9x | 261 | 53% |
| MACD fast=19, slow=47, signal=6 |
7.5% | -52.5% | 0.40 | 0.14 | 4.4x | 326 | 51% |
| Buy and hold | 15.7% | -89.5% | 0.58 | 0.17 | 20.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 124-day EMA
- Sell — Sell when the 6-day EMA falls below the 124-day EMA