Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Firstsource Solutions Limited backtest
10 trend-following strategies were compared on the full daily history of Firstsource Solutions Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.3%, MDD -46.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.1%, drawdown -93.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.9%, MDD -57.5%, Sharpe 0.74, 45% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 18.3%, MDD -46.1%, exposure 53%).
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=58, slow=119 |
19.9% | -57.5% | 0.74 | 0.35 | 34.3x | 31 | 45% |
| EMA 크로스오버 fast=36, slow=185 |
18.3% | -46.1% | 0.71 | 0.40 | 26.2x | 16 | 53% |
| Donchian 채널 돌파 entryN=48, exitN=57 |
19.7% | -56.1% | 0.69 | 0.35 | 33.1x | 29 | 58% |
| ROC 모멘텀 n=130, threshold=0.08 |
16.4% | -53.0% | 0.66 | 0.31 | 19.2x | 90 | 39% |
| ADX / DI 방향성 period=51, threshold=15 |
10.7% | -56.9% | 0.53 | 0.19 | 7.2x | 42 | 28% |
| Supertrend period=10, mult=5 |
13.3% | -74.0% | 0.53 | 0.18 | 11.3x | 41 | 51% |
| 볼린저 밴드 돌파 n=15, k=2.1 |
5.9% | -59.7% | 0.35 | 0.10 | 3.0x | 167 | 24% |
| MACD fast=19, slow=50, signal=16 |
6.2% | -61.7% | 0.34 | 0.10 | 3.2x | 171 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=1.5 |
5.9% | -62.4% | 0.34 | 0.09 | 3.0x | 105 | 35% |
| Parabolic SAR step=0.02, maxStep=0.14 |
2.7% | -71.0% | 0.25 | 0.04 | 1.7x | 343 | 56% |
| Buy and hold | 7.1% | -93.7% | 0.38 | 0.08 | 3.8x | 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 58-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 58-day average falls below the 119-day average