Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Colgate-Palmolive (India) Limited backtest
10 trend-following strategies were compared on the full daily history of Colgate-Palmolive (India) Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -53.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -45.4%, Sharpe 0.57, 69% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.8%, MDD -41.9%, exposure 77%.
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=49, slow=218 |
10.3% | -45.4% | 0.57 | 0.23 | 10.7x | 30 | 69% |
| ROC 모멘텀 n=196, threshold=-0.04 |
10.8% | -41.9% | 0.57 | 0.26 | 11.8x | 110 | 77% |
| EMA 크로스오버 fast=34, slow=197 |
10.5% | -40.0% | 0.57 | 0.26 | 11.1x | 34 | 73% |
| Donchian 채널 돌파 entryN=91, exitN=75 |
9.4% | -38.5% | 0.54 | 0.24 | 8.7x | 30 | 63% |
| Supertrend period=28, mult=4.8 |
9.0% | -40.7% | 0.53 | 0.22 | 8.1x | 55 | 62% |
| Parabolic SAR step=0.005, maxStep=0.2 |
5.2% | -43.4% | 0.36 | 0.12 | 3.4x | 205 | 54% |
| MACD fast=19, slow=47, signal=23 |
3.7% | -41.5% | 0.29 | 0.09 | 2.4x | 221 | 51% |
| 볼린저 밴드 돌파 n=76, k=1.4 |
3.4% | -52.0% | 0.28 | 0.07 | 2.2x | 106 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=1.1 |
2.9% | -60.1% | 0.25 | 0.05 | 2.0x | 177 | 51% |
| ADX / DI 방향성 period=10, threshold=30 |
2.2% | -37.5% | 0.24 | 0.06 | 1.7x | 222 | 24% |
| Buy and hold | 15.1% | -53.4% | 0.69 | 0.28 | 29.3x | 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 49-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 49-day average falls below the 218-day average