Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IndiaMART InterMESH Ltd. backtest
10 trend-following strategies were compared on the full daily history of IndiaMART InterMESH Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 15.4%, drawdown -65.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.9%, MDD -52.8%, Sharpe 0.60, 43% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=178 |
20.9% | -52.8% | 0.60 | 0.40 | 3.8x | 10 | 43% |
| SMA 크로스오버 fast=24, slow=85 |
19.3% | -52.8% | 0.57 | 0.37 | 3.5x | 20 | 48% |
| ROC 모멘텀 n=77, threshold=0.06 |
14.4% | -52.8% | 0.49 | 0.27 | 2.6x | 64 | 39% |
| Donchian 채널 돌파 entryN=43, exitN=24 |
14.1% | -63.1% | 0.48 | 0.22 | 2.5x | 22 | 37% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=21, mult=1.1 |
13.1% | -57.1% | 0.46 | 0.23 | 2.4x | 48 | 35% |
| Supertrend period=27, mult=3.8 |
12.1% | -64.9% | 0.45 | 0.19 | 2.2x | 26 | 44% |
| ADX / DI 방향성 period=48, threshold=14 |
10.8% | -55.7% | 0.42 | 0.19 | 2.1x | 22 | 24% |
| 볼린저 밴드 돌파 n=53, k=2 |
9.9% | -59.3% | 0.42 | 0.17 | 1.9x | 24 | 29% |
| MACD fast=13, slow=28, signal=6 |
-12.4% | -88.6% | 0.02 | -0.14 | 0.4x | 156 | 51% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-19.8% | -90.9% | -0.14 | -0.22 | 0.2x | 58 | 46% |
| Buy and hold | 15.4% | -65.0% | 0.51 | 0.24 | 2.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 178-day EMA
- Sell — Sell when the 19-day EMA falls below the 178-day EMA