Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bharat Petroleum Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Bharat Petroleum Corporation 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 12.1%, drawdown -90.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -57.0%, Sharpe 0.41, 59% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.3%, MDD -90.3%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=75, slow=130 |
7.8% | -57.0% | 0.41 | 0.14 | 10.0x | 58 | 59% |
| Donchian 채널 돌파 entryN=20, exitN=63 |
4.7% | -91.9% | 0.36 | 0.05 | 4.1x | 83 | 75% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
12.3% | -90.3% | 0.33 | 0.14 | 34.8x | 19 | 100% |
| EMA 크로스오버 fast=17, slow=98 |
1.7% | -93.6% | 0.28 | 0.02 | 1.7x | 101 | 59% |
| Supertrend period=9, mult=4.8 |
1.5% | -94.2% | 0.27 | 0.02 | 1.6x | 91 | 56% |
| ADX / DI 방향성 period=20, threshold=35 |
2.1% | -23.6% | 0.26 | 0.09 | 1.9x | 34 | 5% |
| MACD fast=6, slow=26, signal=17 |
4.2% | -86.7% | 0.23 | 0.05 | 3.5x | 585 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
1.3% | -91.1% | 0.20 | 0.01 | 1.5x | 533 | 49% |
| 볼린저 밴드 돌파 n=37, k=1.5 |
-2.4% | -93.4% | 0.13 | -0.03 | 0.5x | 221 | 39% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=9, mult=1 |
-3.3% | -94.9% | 0.11 | -0.04 | 0.4x | 269 | 46% |
| Buy and hold | 12.1% | -90.0% | 0.33 | 0.13 | 32.6x | 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 75-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 75-day average falls below the 130-day average