Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Hero Motocorp Limited backtest
10 trend-following strategies were compared on the full daily history of Hero Motocorp Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.2%, MDD -35.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -61.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -35.4%, Sharpe 0.61, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 26.2%p (CAGR 12.2%, MDD -35.4%, exposure 56%).
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=217 |
12.2% | -35.4% | 0.61 | 0.34 | 16.1x | 30 | 56% |
| Keltner 채널 돌파 emaPeriod=83, atrPeriod=48, mult=3.9 |
7.7% | -30.2% | 0.53 | 0.25 | 6.0x | 35 | 28% |
| EMA 크로스오버 fast=71, slow=202 |
9.0% | -41.7% | 0.48 | 0.21 | 8.0x | 25 | 63% |
| Donchian 채널 돌파 entryN=111, exitN=101 |
8.0% | -53.4% | 0.46 | 0.15 | 6.4x | 27 | 54% |
| ROC 모멘텀 n=109, threshold=0.07 |
7.2% | -49.2% | 0.45 | 0.15 | 5.4x | 182 | 42% |
| Supertrend period=9, mult=4.8 |
5.1% | -64.0% | 0.34 | 0.08 | 3.4x | 67 | 57% |
| ADX / DI 방향성 period=38, threshold=26 |
2.3% | -21.7% | 0.32 | 0.11 | 1.8x | 10 | 4% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
3.0% | -55.6% | 0.26 | 0.05 | 2.0x | 71 | 30% |
| MACD fast=21, slow=72, signal=21 |
0.9% | -68.1% | 0.15 | 0.01 | 1.2x | 229 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.1% | -78.4% | 0.02 | -0.03 | 0.6x | 212 | 54% |
| Buy and hold | 12.5% | -61.6% | 0.54 | 0.20 | 17.4x | 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 217-day average
- Sell — Sell (to cash) when the 50-day average falls below the 217-day average