Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Engineers India Limited backtest
10 trend-following strategies were compared on the full daily history of Engineers India Limited. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.3%, MDD -68.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 9.1%, drawdown -88.2%).
Sharpe leader (same as main): Supertrend — CAGR 11.2%, MDD -69.7%, Sharpe 0.49, 47% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -68.1%, exposure 45%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 13.3%, MDD -68.1%, exposure 45%).
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=20, mult=3.1 |
11.2% | -69.7% | 0.49 | 0.16 | 21.6x | 168 | 47% |
| Donchian 채널 돌파 entryN=82, exitN=29 |
10.0% | -79.5% | 0.48 | 0.13 | 15.8x | 61 | 31% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
9.2% | -79.0% | 0.47 | 0.12 | 12.7x | 60 | 24% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=3 |
9.5% | -81.4% | 0.47 | 0.12 | 13.8x | 80 | 28% |
| ADX / DI 방향성 period=28, threshold=10 |
10.2% | -84.9% | 0.46 | 0.12 | 16.7x | 304 | 52% |
| Parabolic SAR step=0.025, maxStep=0.16 |
9.9% | -73.3% | 0.45 | 0.13 | 15.2x | 609 | 48% |
| SMA 크로스오버 fast=27, slow=171 |
13.3% | -68.1% | 0.43 | 0.20 | 36.6x | 47 | 45% |
| EMA 크로스오버 fast=48, slow=133 |
12.7% | -71.0% | 0.42 | 0.18 | 31.5x | 43 | 45% |
| ROC 모멘텀 n=133, threshold=0.02 |
10.9% | -72.3% | 0.39 | 0.15 | 19.8x | 241 | 46% |
| MACD fast=7, slow=29, signal=17 |
5.7% | -71.2% | 0.33 | 0.08 | 4.9x | 468 | 49% |
| Buy and hold | 9.1% | -88.2% | 0.39 | 0.10 | 12.3x | 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) — 20-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)