Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Jaiprakash Power Ventures Limited backtest
10 trend-following strategies were compared on the full daily history of Jaiprakash Power Ventures Limited. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.6%, MDD -46.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -99.7%).
Sharpe leader (same as main): MACD — CAGR 22.1%, MDD -69.6%, Sharpe 0.67, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 12.6%, MDD -46.0%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=59, signal=8 |
22.1% | -69.6% | 0.67 | 0.32 | 70.8x | 272 | 49% |
| 볼린저 밴드 돌파 n=11, k=1.6 |
17.4% | -64.9% | 0.62 | 0.27 | 30.6x | 338 | 29% |
| Supertrend period=29, mult=4 |
16.8% | -71.5% | 0.59 | 0.24 | 27.8x | 80 | 38% |
| ROC 모멘텀 n=29, threshold=0.13 |
14.1% | -59.6% | 0.56 | 0.24 | 16.9x | 226 | 24% |
| EMA 크로스오버 fast=6, slow=12 |
15.7% | -79.6% | 0.56 | 0.20 | 22.7x | 328 | 43% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
14.2% | -89.0% | 0.52 | 0.16 | 17.1x | 146 | 53% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=1 |
12.6% | -46.0% | 0.52 | 0.27 | 12.7x | 280 | 24% |
| Parabolic SAR step=0.04, maxStep=0.32 |
11.7% | -73.6% | 0.47 | 0.16 | 10.7x | 612 | 46% |
| SMA 크로스오버 fast=6, slow=44 |
10.6% | -86.6% | 0.45 | 0.12 | 8.6x | 168 | 44% |
| ADX / DI 방향성 period=13, threshold=11 |
7.8% | -93.2% | 0.39 | 0.08 | 5.0x | 424 | 47% |
| Buy and hold | -3.0% | -99.7% | 0.24 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/59) crosses above its 8-day signal line
- Sell — Sell when the MACD line crosses back below the signal line