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 29.1%, MDD -59.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 25.5%, drawdown -92.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 29.1%, MDD -59.0%, Sharpe 0.92, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 31.1%, MDD -78.1%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 29.1%, 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 |
29.1% | -59.0% | 0.92 | 0.49 | 973.8x | 235 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=26 |
31.1% | -78.1% | 0.89 | 0.40 | 1480.0x | 127 | 69% |
| SMA 크로스오버 fast=9, slow=29 |
28.1% | -62.9% | 0.87 | 0.45 | 789.0x | 215 | 57% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=25, mult=2.3 |
22.8% | -57.2% | 0.85 | 0.40 | 254.7x | 125 | 35% |
| Supertrend period=7, mult=3.4 |
26.8% | -66.4% | 0.85 | 0.40 | 602.9x | 131 | 54% |
| EMA 크로스오버 fast=65, slow=207 |
23.8% | -67.6% | 0.76 | 0.35 | 313.1x | 19 | 62% |
| MACD fast=9, slow=69, signal=17 |
21.4% | -81.4% | 0.73 | 0.26 | 187.0x | 345 | 53% |
| ADX / DI 방향성 period=32, threshold=8 |
20.3% | -63.0% | 0.70 | 0.32 | 146.3x | 301 | 53% |
| ROC 모멘텀 n=144, threshold=-0.02 |
21.1% | -73.1% | 0.70 | 0.29 | 172.3x | 169 | 62% |
| Parabolic SAR step=0.01, maxStep=0.26 |
19.8% | -79.7% | 0.70 | 0.25 | 128.5x | 359 | 52% |
| Buy and hold | 25.5% | -92.9% | 0.70 | 0.27 | 454.6x | 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