Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gabriel India Limited backtest
10 trend-following strategies were compared on the full daily history of Gabriel India Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 27.9%, MDD -63.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 26.7%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.9%, MDD -63.7%, Sharpe 0.86, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 27.9%, MDD -63.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=92 |
27.9% | -63.7% | 0.86 | 0.44 | 193.1x | 57 | 58% |
| EMA 크로스오버 fast=46, slow=127 |
24.2% | -60.6% | 0.77 | 0.40 | 101.7x | 33 | 63% |
| ADX / DI 방향성 period=38, threshold=18 |
18.8% | -49.0% | 0.75 | 0.38 | 40.0x | 71 | 33% |
| Donchian 채널 돌파 entryN=55, exitN=45 |
21.8% | -71.2% | 0.73 | 0.31 | 68.1x | 37 | 56% |
| Supertrend period=11, mult=3.7 |
22.0% | -70.8% | 0.72 | 0.31 | 69.4x | 73 | 62% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=2.9 |
16.8% | -52.1% | 0.68 | 0.32 | 27.4x | 55 | 34% |
| ROC 모멘텀 n=82, threshold=-0.04 |
20.1% | -79.9% | 0.67 | 0.25 | 49.8x | 217 | 64% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
15.5% | -64.1% | 0.60 | 0.24 | 21.9x | 103 | 45% |
| MACD fast=13, slow=56, signal=23 |
12.5% | -59.2% | 0.52 | 0.21 | 12.3x | 226 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
11.8% | -84.2% | 0.50 | 0.14 | 10.9x | 340 | 52% |
| Buy and hold | 26.7% | -84.4% | 0.74 | 0.32 | 158.1x | 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 20-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 20-day average falls below the 92-day average