Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gravita India Limited backtest
10 trend-following strategies were compared on the full daily history of Gravita India Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 27.5%, MDD -40.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 26.9%, drawdown -91.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 45.6%, MDD -53.1%, Sharpe 1.16, 58% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 27.5%, MDD -40.1%, exposure 35%).
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=14, slow=275 |
45.6% | -53.1% | 1.16 | 0.86 | 377.8x | 17 | 58% |
| Supertrend period=27, mult=4.2 |
44.7% | -56.5% | 1.11 | 0.79 | 340.5x | 40 | 59% |
| EMA 크로스오버 fast=3, slow=117 |
42.1% | -57.3% | 1.09 | 0.73 | 256.5x | 61 | 58% |
| ROC 모멘텀 n=75, threshold=0.14 |
38.1% | -42.6% | 1.06 | 0.89 | 162.7x | 126 | 45% |
| Donchian 채널 돌파 entryN=32, exitN=38 |
41.2% | -59.6% | 1.03 | 0.69 | 232.8x | 37 | 62% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
37.8% | -56.9% | 1.03 | 0.66 | 157.5x | 71 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=2.1 |
35.6% | -45.5% | 1.01 | 0.78 | 122.3x | 59 | 45% |
| ADX / DI 방향성 period=33, threshold=21 |
27.5% | -40.1% | 0.91 | 0.68 | 46.3x | 44 | 35% |
| MACD fast=15, slow=35, signal=18 |
26.0% | -56.8% | 0.78 | 0.46 | 38.3x | 171 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
19.4% | -74.7% | 0.64 | 0.26 | 16.4x | 131 | 56% |
| Buy and hold | 26.9% | -91.5% | 0.71 | 0.29 | 43.1x | 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 14-day average price crosses above the 275-day average
- Sell — Sell (to cash) when the 14-day average falls below the 275-day average