Trend-Following Backtester · Guide · backtest 한국어
equity · IN
eClerx Services Limited backtest
10 trend-following strategies were compared on the full daily history of eClerx Services Limited. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 29.4%, MDD -43.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 18.8%, drawdown -83.4%).
Sharpe leader (same as main): Supertrend — CAGR 29.4%, MDD -43.3%, Sharpe 0.98, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 29.4%, MDD -43.3%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=4.9 |
29.4% | -43.3% | 0.98 | 0.68 | 121.0x | 29 | 58% |
| Donchian 채널 돌파 entryN=51, exitN=38 |
25.2% | -43.8% | 0.96 | 0.57 | 64.9x | 37 | 48% |
| EMA 크로스오버 fast=25, slow=50 |
24.0% | -59.5% | 0.88 | 0.40 | 54.2x | 61 | 55% |
| ROC 모멘텀 n=67, threshold=0.01 |
23.4% | -50.0% | 0.86 | 0.47 | 49.5x | 167 | 55% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=23, mult=1.6 |
21.3% | -45.2% | 0.84 | 0.47 | 36.3x | 73 | 47% |
| SMA 크로스오버 fast=10, slow=84 |
21.5% | -55.1% | 0.82 | 0.39 | 37.2x | 81 | 55% |
| ADX / DI 방향성 period=29, threshold=9 |
17.5% | -72.3% | 0.69 | 0.24 | 20.1x | 189 | 63% |
| 볼린저 밴드 돌파 n=48, k=1.6 |
15.2% | -44.5% | 0.68 | 0.34 | 13.9x | 99 | 40% |
| MACD fast=19, slow=46, signal=19 |
11.2% | -58.1% | 0.51 | 0.19 | 7.2x | 187 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
5.6% | -73.9% | 0.33 | 0.08 | 2.7x | 402 | 52% |
| Buy and hold | 18.8% | -83.4% | 0.63 | 0.23 | 24.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)