Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Exide Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Exide Industries Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 21.5%, drawdown -59.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.1%, MDD -53.5%, Sharpe 0.74, 59% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=77, slow=162 |
18.1% | -53.5% | 0.74 | 0.34 | 56.2x | 31 | 59% |
| Donchian 채널 돌파 entryN=136, exitN=77 |
15.3% | -41.4% | 0.69 | 0.37 | 31.5x | 23 | 49% |
| ADX / DI 방향성 period=39, threshold=20 |
11.9% | -30.7% | 0.69 | 0.39 | 15.0x | 53 | 21% |
| EMA 크로스오버 fast=56, slow=183 |
16.9% | -61.8% | 0.69 | 0.27 | 43.2x | 29 | 62% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=2.9 |
13.2% | -31.3% | 0.67 | 0.42 | 19.8x | 63 | 34% |
| Supertrend period=26, mult=3.5 |
14.6% | -60.0% | 0.66 | 0.24 | 27.2x | 96 | 53% |
| ROC 모멘텀 n=149, threshold=0.04 |
15.0% | -61.1% | 0.65 | 0.25 | 29.3x | 123 | 54% |
| 볼린저 밴드 돌파 n=41, k=1.6 |
12.3% | -46.5% | 0.61 | 0.27 | 16.6x | 142 | 44% |
| MACD fast=21, slow=58, signal=25 |
7.1% | -74.4% | 0.40 | 0.10 | 5.3x | 206 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
4.4% | -79.1% | 0.30 | 0.06 | 2.8x | 212 | 52% |
| Buy and hold | 21.5% | -59.5% | 0.73 | 0.36 | 111.5x | 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 77-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 77-day average falls below the 162-day average