Trend-Following Backtester · Guide · backtest 한국어
equity · IN
GAIL (India) Limited backtest
10 trend-following strategies were compared on the full daily history of GAIL (India) 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 9.6%, drawdown -81.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -89.8%, Sharpe 0.32, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -82.8%, exposure 53%.
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=50, slow=186 |
3.4% | -89.8% | 0.32 | 0.04 | 2.6x | 41 | 52% |
| Donchian 채널 돌파 entryN=82, exitN=67 |
9.1% | -82.8% | 0.28 | 0.11 | 12.7x | 33 | 53% |
| EMA 크로스오버 fast=57, slow=181 |
8.1% | -84.9% | 0.27 | 0.10 | 9.7x | 37 | 52% |
| ADX / DI 방향성 period=39, threshold=12 |
2.6% | -71.3% | 0.23 | 0.04 | 2.1x | 168 | 30% |
| ROC 모멘텀 n=125, threshold=-0.02 |
1.6% | -88.0% | 0.20 | 0.02 | 1.6x | 267 | 58% |
| Supertrend period=28, mult=3 |
0.4% | -91.5% | 0.18 | 0.00 | 1.1x | 171 | 47% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.2% | -84.9% | 0.17 | -0.00 | 0.9x | 221 | 49% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=1.5 |
-2.3% | -92.4% | 0.14 | -0.03 | 0.5x | 194 | 36% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
-2.5% | -91.1% | 0.14 | -0.03 | 0.5x | 165 | 37% |
| MACD fast=14, slow=23, signal=18 |
-5.1% | -97.4% | 0.12 | -0.05 | 0.2x | 416 | 53% |
| Buy and hold | 9.6% | -81.9% | 0.31 | 0.12 | 14.7x | 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 50-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 50-day average falls below the 186-day average