Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Godrej Consumer Products Limited backtest
10 trend-following strategies were compared on the full daily history of Godrej Consumer Products 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 21.7%, drawdown -55.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.5%, MDD -46.5%, Sharpe 0.78, 70% exposure.
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=68, slow=194 |
18.5% | -46.5% | 0.78 | 0.40 | 60.3x | 24 | 70% |
| EMA 크로스오버 fast=51, slow=154 |
17.5% | -50.7% | 0.74 | 0.34 | 48.9x | 32 | 74% |
| ROC 모멘텀 n=126, threshold=-0.15 |
16.7% | -62.9% | 0.67 | 0.27 | 42.1x | 78 | 91% |
| Donchian 채널 돌파 entryN=18, exitN=61 |
11.6% | -67.1% | 0.53 | 0.17 | 14.3x | 60 | 84% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=21, mult=4 |
6.9% | -39.7% | 0.48 | 0.17 | 5.0x | 34 | 28% |
| Supertrend period=8, mult=4.2 |
9.1% | -68.3% | 0.46 | 0.13 | 8.1x | 68 | 68% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
5.5% | -44.7% | 0.39 | 0.12 | 3.7x | 66 | 33% |
| ADX / DI 방향성 period=29, threshold=28 |
2.5% | -26.4% | 0.34 | 0.10 | 1.8x | 20 | 7% |
| MACD fast=10, slow=24, signal=6 |
-1.6% | -83.1% | 0.04 | -0.02 | 0.7x | 579 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-2.5% | -82.1% | 0.00 | -0.03 | 0.5x | 492 | 52% |
| Buy and hold | 21.7% | -55.2% | 0.78 | 0.39 | 115.7x | 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 68-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 68-day average falls below the 194-day average