Trend-Following Backtester · Guide · backtest 한국어
equity · IN
J.K. Cement Ltd. backtest
10 trend-following strategies were compared on the full daily history of J.K. Cement Ltd.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 21.6%, MDD -33.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 18.6%, drawdown -86.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.6%, MDD -33.8%, Sharpe 0.97, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 21.6%, MDD -33.1%, exposure 44%).
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=7, slow=100 |
24.6% | -33.8% | 0.97 | 0.73 | 90.8x | 74 | 59% |
| ADX / DI 방향성 period=37, threshold=13 |
21.6% | -33.1% | 0.95 | 0.65 | 55.0x | 110 | 44% |
| EMA 크로스오버 fast=14, slow=69 |
23.7% | -37.2% | 0.94 | 0.64 | 77.6x | 72 | 59% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=1.5 |
21.2% | -38.2% | 0.93 | 0.55 | 50.8x | 108 | 43% |
| Supertrend period=26, mult=3.2 |
21.7% | -42.0% | 0.88 | 0.52 | 55.9x | 89 | 59% |
| Donchian 채널 돌파 entryN=32, exitN=58 |
22.2% | -45.0% | 0.87 | 0.49 | 60.9x | 41 | 65% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
19.0% | -39.5% | 0.86 | 0.48 | 35.1x | 82 | 41% |
| ROC 모멘텀 n=82, threshold=0.04 |
20.1% | -46.2% | 0.84 | 0.43 | 42.4x | 152 | 52% |
| Parabolic SAR step=0.015, maxStep=0.36 |
18.6% | -43.1% | 0.79 | 0.43 | 33.0x | 338 | 52% |
| MACD fast=7, slow=25, signal=13 |
14.0% | -68.1% | 0.65 | 0.21 | 14.6x | 370 | 49% |
| Buy and hold | 18.6% | -86.0% | 0.66 | 0.22 | 32.8x | 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 7-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 7-day average falls below the 100-day average