Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Force Motors Limited backtest
10 trend-following strategies were compared on the full daily history of Force Motors Limited. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 48.1%, MDD -31.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 45.7%, drawdown -57.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 42.4%, MDD -28.7%, Sharpe 1.25, 33% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 48.8%, MDD -35.6%, exposure 56%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 28.9%p (CAGR 48.1%, MDD -31.6%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.5 |
42.4% | -28.7% | 1.25 | 1.47 | 11.6x | 34 | 33% |
| ROC 모멘텀 n=49, threshold=-0.01 |
48.8% | -35.6% | 1.23 | 1.37 | 15.9x | 72 | 56% |
| SMA 크로스오버 fast=11, slow=79 |
46.4% | -38.2% | 1.21 | 1.21 | 14.2x | 24 | 55% |
| EMA 크로스오버 fast=8, slow=131 |
48.1% | -31.6% | 1.19 | 1.52 | 15.3x | 16 | 59% |
| Donchian 채널 돌파 entryN=40, exitN=34 |
42.8% | -31.4% | 1.16 | 1.36 | 11.9x | 16 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=14, mult=2.7 |
34.8% | -31.0% | 1.15 | 1.12 | 8.0x | 22 | 28% |
| Supertrend period=22, mult=4.4 |
41.4% | -40.3% | 1.12 | 1.03 | 11.1x | 22 | 56% |
| ADX / DI 방향성 period=16, threshold=18 |
39.1% | -43.9% | 1.09 | 0.89 | 9.9x | 66 | 52% |
| MACD fast=18, slow=41, signal=16 |
40.7% | -58.4% | 1.08 | 0.70 | 10.7x | 70 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
30.0% | -51.3% | 0.92 | 0.59 | 6.2x | 82 | 53% |
| Buy and hold | 45.7% | -57.7% | 1.03 | 0.79 | 13.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 25-day middle average