Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Genus Power Infrastructures Limited backtest
10 trend-following strategies were compared on the full daily history of Genus Power Infrastructures Limited. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.6%, MDD -56.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 17.0%, drawdown -93.0%).
Sharpe leader (same as main): Supertrend — CAGR 19.5%, MDD -71.0%, Sharpe 0.66, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 18.6%, MDD -56.1%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=2.5 |
19.5% | -71.0% | 0.66 | 0.27 | 43.5x | 153 | 50% |
| ROC 모멘텀 n=107, threshold=0.04 |
18.6% | -56.1% | 0.63 | 0.33 | 36.6x | 175 | 52% |
| SMA 크로스오버 fast=7, slow=30 |
18.3% | -71.4% | 0.63 | 0.26 | 35.2x | 217 | 51% |
| Donchian 채널 돌파 entryN=32, exitN=75 |
19.1% | -84.1% | 0.62 | 0.23 | 40.3x | 35 | 74% |
| Parabolic SAR step=0.01, maxStep=0.38 |
17.7% | -73.7% | 0.62 | 0.24 | 31.2x | 263 | 50% |
| 볼린저 밴드 돌파 n=17, k=0.7 |
15.5% | -65.4% | 0.58 | 0.24 | 21.1x | 405 | 43% |
| MACD fast=16, slow=46, signal=19 |
15.9% | -63.4% | 0.57 | 0.25 | 22.5x | 227 | 50% |
| EMA 크로스오버 fast=6, slow=54 |
15.6% | -74.4% | 0.56 | 0.21 | 21.3x | 155 | 53% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=1 |
12.4% | -60.8% | 0.52 | 0.20 | 11.8x | 253 | 34% |
| ADX / DI 방향성 period=16, threshold=43 |
4.7% | -44.7% | 0.46 | 0.11 | 2.7x | 12 | 3% |
| Buy and hold | 17.0% | -93.0% | 0.56 | 0.18 | 27.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)