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 47.4%, MDD -31.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 44.6%, drawdown -57.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 41.8%, MDD -28.7%, Sharpe 1.24, 33% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 47.4%, MDD -31.6%, exposure 58%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 28.9%p (CAGR 47.4%, MDD -31.6%, exposure 58%).
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 |
41.8% | -28.7% | 1.24 | 1.45 | 11.6x | 34 | 33% |
| ROC 모멘텀 n=49, threshold=-0.01 |
47.3% | -35.6% | 1.21 | 1.33 | 15.2x | 74 | 56% |
| SMA 크로스오버 fast=11, slow=79 |
45.8% | -38.2% | 1.21 | 1.20 | 14.2x | 24 | 54% |
| EMA 크로스오버 fast=8, slow=131 |
47.4% | -31.6% | 1.19 | 1.50 | 15.3x | 16 | 58% |
| Donchian 채널 돌파 entryN=40, exitN=34 |
42.1% | -31.4% | 1.16 | 1.34 | 11.9x | 16 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=14, mult=2.7 |
34.3% | -31.0% | 1.14 | 1.11 | 8.0x | 22 | 27% |
| Supertrend period=22, mult=4.4 |
40.8% | -40.3% | 1.12 | 1.01 | 11.1x | 22 | 55% |
| ADX / DI 방향성 period=16, threshold=18 |
38.6% | -43.9% | 1.09 | 0.88 | 9.9x | 66 | 51% |
| MACD fast=18, slow=41, signal=16 |
39.4% | -58.4% | 1.06 | 0.67 | 10.3x | 72 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
28.5% | -51.3% | 0.89 | 0.56 | 5.8x | 84 | 53% |
| Buy and hold | 44.6% | -57.7% | 1.01 | 0.77 | 13.4x | 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