Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bharat Electronics Limited backtest
10 trend-following strategies were compared on the full daily history of Bharat Electronics Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 24.1%, drawdown -97.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -97.7%, Sharpe 0.61, 61% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 26.3%, MDD -97.2%, exposure 64%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=67 |
5.6% | -97.7% | 0.61 | 0.06 | 3.7x | 96 | 61% |
| 볼린저 밴드 돌파 n=64, k=0.5 |
4.1% | -97.9% | 0.58 | 0.04 | 2.7x | 146 | 54% |
| Donchian 채널 돌파 entryN=46, exitN=52 |
4.1% | -98.0% | 0.57 | 0.04 | 2.6x | 48 | 60% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=20, mult=1.3 |
2.3% | -97.9% | 0.53 | 0.02 | 1.7x | 124 | 50% |
| Supertrend period=7, mult=4.9 |
1.6% | -97.9% | 0.50 | 0.02 | 1.4x | 62 | 55% |
| ROC 모멘텀 n=102, threshold=0.06 |
1.0% | -98.2% | 0.48 | 0.01 | 1.3x | 190 | 53% |
| ADX / DI 방향성 period=30, threshold=20 |
6.9% | -48.2% | 0.47 | 0.14 | 5.0x | 84 | 22% |
| EMA 크로스오버 fast=57, slow=117 |
26.3% | -97.2% | 0.24 | 0.27 | 275.8x | 26 | 64% |
| MACD fast=17, slow=47, signal=15 |
10.9% | -97.6% | 0.22 | 0.11 | 12.1x | 282 | 52% |
| Parabolic SAR step=0.01, maxStep=0.34 |
8.6% | -97.8% | 0.22 | 0.09 | 7.2x | 322 | 52% |
| Buy and hold | 24.1% | -97.8% | 0.24 | 0.25 | 179.5x | 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 67-day average
- Sell — Sell (to cash) when the 50-day average falls below the 67-day average