Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Balrampur Chini Mills Ltd backtest
10 trend-following strategies were compared on the full daily history of Balrampur Chini Mills Ltd. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 38.7%, MDD -55.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 28.7%, drawdown -84.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.4%, MDD -49.2%, Sharpe 0.69, 45% exposure.
CAGR reference leader: Supertrend — CAGR 38.7%, MDD -55.7%, exposure 64%.
Return/drawdown alternative: Supertrend — CAGR is 10.3%p lower than buy and hold, while drawdown improves by 35.1%p (CAGR 38.7%, MDD -55.7%, exposure 64%).
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=33, k=1.2 |
18.4% | -49.2% | 0.69 | 0.37 | 58.1x | 201 | 45% |
| MACD fast=16, slow=52, signal=16 |
13.4% | -62.6% | 0.54 | 0.21 | 20.7x | 291 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=3.3 |
7.2% | -43.3% | 0.46 | 0.17 | 5.4x | 46 | 15% |
| ROC 모멘텀 n=27, threshold=0.02 |
9.6% | -65.7% | 0.44 | 0.15 | 9.1x | 449 | 49% |
| Donchian 채널 돌파 entryN=15, exitN=40 |
38.0% | -72.4% | 0.37 | 0.52 | 2322.9x | 75 | 72% |
| Supertrend period=11, mult=4.7 |
38.7% | -55.7% | 0.36 | 0.70 | 2658.8x | 51 | 64% |
| Parabolic SAR step=0.02, maxStep=0.16 |
6.4% | -77.6% | 0.35 | 0.08 | 4.5x | 510 | 53% |
| EMA 크로스오버 fast=12, slow=26 |
32.2% | -61.3% | 0.34 | 0.53 | 836.9x | 177 | 57% |
| SMA 크로스오버 fast=11, slow=201 |
31.9% | -58.5% | 0.34 | 0.54 | 786.4x | 41 | 58% |
| ADX / DI 방향성 period=32, threshold=34 |
2.8% | -23.2% | 0.33 | 0.12 | 2.0x | 8 | 5% |
| Buy and hold | 28.7% | -84.3% | 0.34 | 0.34 | 434.0x | 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 33-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 33-day middle average