Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ELGI Equipments Limited backtest
10 trend-following strategies were compared on the full daily history of ELGI Equipments Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.5%, MDD -57.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.4%, drawdown -73.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.5%, MDD -57.3%, Sharpe 0.63, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 16.5%p (CAGR 19.5%, MDD -57.3%, exposure 61%).
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=31, slow=165 |
19.5% | -57.3% | 0.63 | 0.34 | 73.0x | 43 | 61% |
| ROC 모멘텀 n=38, threshold=-0.11 |
18.8% | -66.7% | 0.60 | 0.28 | 63.2x | 199 | 86% |
| EMA 크로스오버 fast=43, slow=77 |
17.9% | -57.4% | 0.60 | 0.31 | 52.4x | 57 | 61% |
| ADX / DI 방향성 period=36, threshold=16 |
13.5% | -68.5% | 0.58 | 0.20 | 21.0x | 90 | 47% |
| Supertrend period=18, mult=5 |
16.7% | -59.4% | 0.58 | 0.28 | 41.4x | 43 | 61% |
| Donchian 채널 돌파 entryN=24, exitN=78 |
16.6% | -83.0% | 0.56 | 0.20 | 40.5x | 39 | 82% |
| 볼린저 밴드 돌파 n=92, k=1.7 |
12.3% | -70.0% | 0.48 | 0.18 | 16.3x | 77 | 45% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=11, mult=2.6 |
9.8% | -66.1% | 0.43 | 0.15 | 9.6x | 76 | 36% |
| Parabolic SAR step=0.015, maxStep=0.16 |
2.9% | -81.3% | 0.25 | 0.04 | 2.0x | 378 | 53% |
| MACD fast=8, slow=57, signal=10 |
-0.7% | -83.5% | 0.15 | -0.01 | 0.8x | 448 | 49% |
| Buy and hold | 21.4% | -73.8% | 0.64 | 0.29 | 107.5x | 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 31-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 31-day average falls below the 165-day average