Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Biocon Limited backtest
10 trend-following strategies were compared on the full daily history of Biocon Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -42.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.9%, drawdown -93.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -42.1%, Sharpe 0.59, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 12.7%, MDD -42.1%, exposure 59%).
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=51, slow=333 |
12.7% | -42.1% | 0.59 | 0.30 | 14.6x | 17 | 59% |
| ADX / DI 방향성 period=16, threshold=39 |
2.2% | -14.0% | 0.33 | 0.16 | 1.6x | 16 | 4% |
| EMA 크로스오버 fast=56, slow=135 |
2.2% | -86.7% | 0.32 | 0.03 | 1.6x | 31 | 59% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
10.2% | -93.1% | 0.31 | 0.11 | 8.8x | 5 | 100% |
| Donchian 채널 돌파 entryN=62, exitN=74 |
9.9% | -83.6% | 0.29 | 0.12 | 8.3x | 29 | 60% |
| Supertrend period=28, mult=4.9 |
9.0% | -85.0% | 0.28 | 0.11 | 6.8x | 45 | 53% |
| MACD fast=33, slow=64, signal=25 |
2.2% | -87.7% | 0.22 | 0.02 | 1.6x | 164 | 48% |
| 볼린저 밴드 돌파 n=49, k=2.3 |
2.6% | -85.4% | 0.21 | 0.03 | 1.8x | 92 | 32% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.5% | -88.5% | 0.21 | 0.02 | 1.4x | 180 | 51% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=1.8 |
-6.6% | -87.6% | -0.01 | -0.08 | 0.2x | 122 | 36% |
| Buy and hold | 10.9% | -93.3% | 0.31 | 0.12 | 10.2x | 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 51-day average price crosses above the 333-day average
- Sell — Sell (to cash) when the 51-day average falls below the 333-day average