Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jindal Steel Limited backtest
10 trend-following strategies were compared on the full daily history of Jindal Steel Limited. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.9%, MDD -59.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 25.2%, drawdown -92.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.9%, MDD -59.0%, Sharpe 0.91, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 30.8%, MDD -78.1%, exposure 68%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 28.9%, MDD -59.0%, exposure 51%).
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=43, k=0.6 |
28.9% | -59.0% | 0.91 | 0.49 | 922.2x | 234 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=26 |
30.8% | -78.1% | 0.89 | 0.40 | 1367.7x | 127 | 68% |
| SMA 크로스오버 fast=9, slow=29 |
27.8% | -62.9% | 0.86 | 0.44 | 729.1x | 215 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=25, mult=2.3 |
22.9% | -57.2% | 0.85 | 0.40 | 252.3x | 124 | 35% |
| Supertrend period=7, mult=3.4 |
26.7% | -66.4% | 0.84 | 0.40 | 571.0x | 130 | 54% |
| EMA 크로스오버 fast=65, slow=207 |
23.5% | -67.6% | 0.75 | 0.35 | 289.4x | 19 | 62% |
| MACD fast=9, slow=69, signal=17 |
21.1% | -81.4% | 0.73 | 0.26 | 172.8x | 345 | 53% |
| ADX / DI 방향성 period=32, threshold=8 |
20.3% | -63.0% | 0.70 | 0.32 | 144.1x | 296 | 53% |
| ROC 모멘텀 n=144, threshold=-0.02 |
20.8% | -73.1% | 0.69 | 0.28 | 159.2x | 169 | 61% |
| Parabolic SAR step=0.01, maxStep=0.26 |
19.5% | -79.7% | 0.69 | 0.24 | 118.8x | 359 | 52% |
| Buy and hold | 25.2% | -92.9% | 0.70 | 0.27 | 420.1x | 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 43-day average (0.6× volatility)
- Sell — Sell when the close falls back to the 43-day middle average