Trend-Following Backtester · Guide · backtest 한국어
equity · IN
BEML Limited backtest
10 trend-following strategies were compared on the full daily history of BEML Limited. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 21.5%, MDD -52.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 16.6%, drawdown -92.8%).
Sharpe leader (same as main): MACD — CAGR 27.8%, MDD -66.6%, Sharpe 0.89, 52% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 29.9%, MDD -57.7%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 21.5%, MDD -52.3%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=53, signal=18 |
27.8% | -66.6% | 0.89 | 0.42 | 376.8x | 213 | 52% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
24.1% | -64.1% | 0.84 | 0.38 | 184.7x | 103 | 39% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=28, mult=2.5 |
20.7% | -67.4% | 0.81 | 0.31 | 95.2x | 94 | 27% |
| Supertrend period=8, mult=2.8 |
23.9% | -66.6% | 0.79 | 0.36 | 179.1x | 141 | 53% |
| ADX / DI 방향성 period=13, threshold=21 |
21.5% | -52.3% | 0.78 | 0.41 | 110.4x | 287 | 41% |
| EMA 크로스오버 fast=10, slow=21 |
29.9% | -60.7% | 0.77 | 0.49 | 555.7x | 203 | 53% |
| SMA 크로스오버 fast=23, slow=103 |
29.9% | -57.7% | 0.77 | 0.52 | 556.3x | 57 | 54% |
| ROC 모멘텀 n=56, threshold=-0.04 |
29.5% | -58.5% | 0.76 | 0.50 | 519.7x | 259 | 60% |
| Donchian 채널 돌파 entryN=40, exitN=50 |
28.2% | -57.7% | 0.74 | 0.49 | 408.5x | 49 | 59% |
| Parabolic SAR step=0.03, maxStep=0.08 |
18.8% | -62.3% | 0.68 | 0.30 | 64.4x | 433 | 52% |
| Buy and hold | 16.6% | -92.8% | 0.53 | 0.18 | 41.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/53) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line