Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Dalmia Bharat Ltd. backtest
10 trend-following strategies were compared on the full daily history of Dalmia Bharat Ltd.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.9%, MDD -24.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.6%, drawdown -66.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.6%, MDD -27.0%, Sharpe 0.90, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 9.9%, MDD -24.2%, exposure 24%).
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=44, slow=145 |
17.6% | -27.0% | 0.90 | 0.65 | 3.5x | 8 | 46% |
| Donchian 채널 돌파 entryN=65, exitN=81 |
16.5% | -35.4% | 0.84 | 0.47 | 3.2x | 7 | 46% |
| EMA 크로스오버 fast=43, slow=119 |
14.7% | -31.0% | 0.78 | 0.48 | 2.9x | 12 | 45% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
9.9% | -24.2% | 0.69 | 0.41 | 2.1x | 14 | 24% |
| ROC 모멘텀 n=115, threshold=0.06 |
11.4% | -30.7% | 0.67 | 0.37 | 2.3x | 36 | 38% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=2.6 |
9.6% | -27.7% | 0.63 | 0.35 | 2.0x | 20 | 30% |
| Supertrend period=23, mult=1.8 |
9.9% | -53.3% | 0.53 | 0.19 | 2.1x | 91 | 55% |
| MACD fast=7, slow=26, signal=16 |
7.2% | -50.0% | 0.42 | 0.14 | 1.7x | 132 | 50% |
| ADX / DI 방향성 period=25, threshold=13 |
6.3% | -34.7% | 0.40 | 0.18 | 1.6x | 92 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.8% | -52.7% | 0.40 | 0.13 | 1.7x | 109 | 53% |
| Buy and hold | 6.6% | -66.3% | 0.36 | 0.10 | 1.6x | 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 44-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 44-day average falls below the 145-day average