Trend-Following Backtester · Guide · backtest 한국어
equity · IN
JSW Energy Limited backtest
10 trend-following strategies were compared on the full daily history of JSW Energy Limited. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.8%, MDD -29.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.8%, drawdown -74.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.5%, MDD -16.0%, Sharpe 0.80, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.1%, MDD -47.1%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 58.1%p (CAGR 9.8%, MDD -29.6%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=45 |
6.5% | -16.0% | 0.80 | 0.41 | 2.8x | 2 | 3% |
| SMA 크로스오버 fast=64, slow=92 |
18.1% | -47.1% | 0.71 | 0.39 | 15.8x | 43 | 54% |
| 볼린저 밴드 돌파 n=74, k=3.5 |
9.8% | -29.6% | 0.65 | 0.33 | 4.7x | 12 | 13% |
| Donchian 채널 돌파 entryN=62, exitN=76 |
15.4% | -63.6% | 0.62 | 0.24 | 10.7x | 21 | 54% |
| EMA 크로스오버 fast=37, slow=46 |
12.3% | -64.1% | 0.54 | 0.19 | 6.8x | 55 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=4 |
8.9% | -44.5% | 0.52 | 0.20 | 4.1x | 24 | 19% |
| Supertrend period=13, mult=4.1 |
11.2% | -61.9% | 0.50 | 0.18 | 5.8x | 52 | 60% |
| ROC 모멘텀 n=77, threshold=0.09 |
9.9% | -56.0% | 0.49 | 0.18 | 4.8x | 162 | 38% |
| Parabolic SAR step=0.005, maxStep=0.06 |
2.8% | -78.5% | 0.24 | 0.04 | 1.6x | 138 | 53% |
| MACD fast=17, slow=72, signal=17 |
2.7% | -62.7% | 0.24 | 0.04 | 1.6x | 162 | 48% |
| Buy and hold | 10.8% | -74.1% | 0.46 | 0.15 | 5.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 45
- Sell — Sell when direction flips or the trend weakens (ADX < 45)