Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cochin Shipyard Limited backtest
10 trend-following strategies were compared on the full daily history of Cochin Shipyard Limited. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.9%, MDD -28.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 21.2%, drawdown -62.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 28.9%, MDD -28.8%, Sharpe 1.08, 22% exposure.
CAGR reference leader: Supertrend — CAGR 29.8%, MDD -37.6%, exposure 47%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 28.9%, MDD -28.8%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=26, threshold=0.11 |
28.9% | -28.8% | 1.08 | 1.01 | 10.0x | 70 | 22% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
29.4% | -32.4% | 1.03 | 0.91 | 10.3x | 41 | 34% |
| Supertrend period=10, mult=2.4 |
29.8% | -37.6% | 1.02 | 0.79 | 10.6x | 67 | 47% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=1.1 |
27.9% | -44.7% | 0.98 | 0.62 | 9.3x | 67 | 36% |
| Donchian 채널 돌파 entryN=24, exitN=49 |
27.0% | -48.6% | 0.88 | 0.56 | 8.7x | 23 | 57% |
| SMA 크로스오버 fast=32, slow=120 |
25.2% | -44.7% | 0.87 | 0.56 | 7.6x | 20 | 44% |
| EMA 크로스오버 fast=11, slow=55 |
23.1% | -50.4% | 0.81 | 0.46 | 6.5x | 47 | 46% |
| MACD fast=19, slow=53, signal=17 |
20.3% | -48.7% | 0.76 | 0.42 | 5.3x | 91 | 49% |
| ADX / DI 방향성 period=33, threshold=19 |
16.7% | -38.0% | 0.71 | 0.44 | 4.0x | 34 | 26% |
| Parabolic SAR step=0.015, maxStep=0.2 |
8.8% | -46.8% | 0.43 | 0.19 | 2.1x | 153 | 50% |
| Buy and hold | 21.2% | -62.7% | 0.67 | 0.34 | 5.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 26-day return is greater than 11%
- Sell — Sell when the 26-day return drops to 11% or below