Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bosch Limited backtest
10 trend-following strategies were compared on the full daily history of Bosch Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.3%, MDD -53.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.4%, drawdown -69.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.2%, MDD -58.6%, Sharpe 0.88, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 11.2%p (CAGR 18.3%, MDD -53.8%, exposure 70%).
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=58, slow=121 |
19.2% | -58.6% | 0.88 | 0.33 | 68.2x | 33 | 71% |
| 볼린저 밴드 돌파 n=48, k=1 |
16.7% | -38.8% | 0.87 | 0.43 | 41.1x | 155 | 53% |
| Donchian 채널 돌파 entryN=69, exitN=15 |
13.5% | -30.9% | 0.86 | 0.44 | 20.9x | 65 | 37% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=1.2 |
15.8% | -32.1% | 0.85 | 0.49 | 34.5x | 175 | 48% |
| SMA 크로스오버 fast=51, slow=207 |
18.3% | -53.8% | 0.85 | 0.34 | 57.1x | 25 | 70% |
| Supertrend period=16, mult=3.5 |
16.8% | -48.8% | 0.84 | 0.35 | 42.3x | 85 | 60% |
| ROC 모멘텀 n=59, threshold=-0.07 |
17.7% | -66.9% | 0.80 | 0.26 | 50.8x | 197 | 80% |
| ADX / DI 방향성 period=22, threshold=13 |
15.5% | -41.8% | 0.79 | 0.37 | 32.2x | 261 | 58% |
| Parabolic SAR step=0.005, maxStep=0.3 |
7.8% | -46.4% | 0.46 | 0.17 | 6.1x | 186 | 55% |
| MACD fast=15, slow=32, signal=13 |
6.6% | -64.6% | 0.42 | 0.10 | 4.7x | 340 | 49% |
| Buy and hold | 22.4% | -69.8% | 0.85 | 0.32 | 129.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 121-day EMA
- Sell — Sell when the 58-day EMA falls below the 121-day EMA