Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Garden Reach Shipbuilders & Engineers Ltd. backtest
10 trend-following strategies were compared on the full daily history of Garden Reach Shipbuilders & Engineers Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 55.7%, drawdown -55.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.6%, MDD -35.4%, Sharpe 0.99, 40% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 34.9%, MDD -51.0%, exposure 72%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=1.9 |
34.6% | -35.4% | 0.99 | 0.98 | 10.1x | 32 | 40% |
| MACD fast=15, slow=50, signal=15 |
33.4% | -47.5% | 0.94 | 0.70 | 9.4x | 88 | 48% |
| SMA 크로스오버 fast=8, slow=80 |
34.6% | -50.1% | 0.92 | 0.69 | 10.0x | 42 | 59% |
| Donchian 채널 돌파 entryN=10, exitN=28 |
34.9% | -51.0% | 0.91 | 0.68 | 10.2x | 39 | 72% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=2.8 |
29.5% | -38.5% | 0.90 | 0.76 | 7.4x | 24 | 36% |
| Parabolic SAR step=0.02, maxStep=0.3 |
30.1% | -40.2% | 0.87 | 0.75 | 7.7x | 145 | 51% |
| EMA 크로스오버 fast=49, slow=102 |
32.0% | -55.6% | 0.84 | 0.58 | 8.7x | 15 | 75% |
| Supertrend period=11, mult=2.8 |
28.4% | -54.1% | 0.82 | 0.53 | 7.0x | 48 | 59% |
| ROC 모멘텀 n=49, threshold=0.03 |
27.0% | -47.0% | 0.80 | 0.58 | 6.4x | 106 | 53% |
| ADX / DI 방향성 period=16, threshold=16 |
20.7% | -58.7% | 0.67 | 0.35 | 4.3x | 102 | 56% |
| Buy and hold | 55.7% | -55.2% | 1.11 | 1.01 | 31.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 50-day middle average