Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Eicher Motors Limited backtest
10 trend-following strategies were compared on the full daily history of Eicher Motors Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 28.6%, drawdown -95.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.0%, MDD -93.8%, Sharpe 0.69, 64% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=74 |
17.0% | -93.8% | 0.69 | 0.18 | 122.0x | 63 | 64% |
| ADX / DI 방향성 period=30, threshold=20 |
15.1% | -48.1% | 0.68 | 0.31 | 73.9x | 96 | 29% |
| SMA 크로스오버 fast=28, slow=124 |
14.7% | -94.8% | 0.64 | 0.16 | 67.0x | 65 | 62% |
| Supertrend period=14, mult=3.8 |
12.7% | -92.5% | 0.60 | 0.14 | 38.8x | 129 | 58% |
| Donchian 채널 돌파 entryN=14, exitN=35 |
13.4% | -95.2% | 0.59 | 0.14 | 46.4x | 125 | 75% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=28, mult=1.1 |
11.3% | -92.8% | 0.57 | 0.12 | 26.3x | 193 | 54% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
9.1% | -92.1% | 0.52 | 0.10 | 14.5x | 163 | 48% |
| ROC 모멘텀 n=100, threshold=0.03 |
9.4% | -95.1% | 0.51 | 0.10 | 15.5x | 267 | 60% |
| Parabolic SAR step=0.015, maxStep=0.36 |
9.1% | -92.3% | 0.24 | 0.10 | 14.3x | 513 | 53% |
| MACD fast=13, slow=58, signal=19 |
6.9% | -92.6% | 0.23 | 0.07 | 7.6x | 373 | 50% |
| Buy and hold | 28.6% | -95.1% | 0.37 | 0.30 | 2165.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 74-day EMA
- Sell — Sell when the 39-day EMA falls below the 74-day EMA