Trend-Following Backtester · Guide · backtest 한국어
equity · IN
JSW Steel Limited backtest
10 trend-following strategies were compared on the full daily history of JSW Steel Limited. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 27.1%, MDD -47.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 23.0%, drawdown -87.8%).
Sharpe leader (same as main): Supertrend — CAGR 27.1%, MDD -47.8%, Sharpe 0.94, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 27.1%, MDD -47.8%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=4.4 |
27.1% | -47.8% | 0.94 | 0.57 | 266.0x | 67 | 56% |
| EMA 크로스오버 fast=14, slow=157 |
20.0% | -51.6% | 0.75 | 0.39 | 70.8x | 43 | 65% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=11, mult=1.2 |
18.0% | -48.2% | 0.75 | 0.37 | 47.2x | 219 | 41% |
| Donchian 채널 돌파 entryN=37, exitN=42 |
20.4% | -63.7% | 0.71 | 0.32 | 76.1x | 57 | 65% |
| SMA 크로스오버 fast=15, slow=64 |
17.6% | -54.1% | 0.67 | 0.33 | 43.7x | 95 | 58% |
| Parabolic SAR step=0.01, maxStep=0.3 |
17.7% | -53.5% | 0.67 | 0.33 | 44.5x | 339 | 55% |
| 볼린저 밴드 돌파 n=29, k=1.1 |
15.2% | -51.4% | 0.64 | 0.30 | 27.0x | 253 | 46% |
| MACD fast=18, slow=37, signal=12 |
15.9% | -55.4% | 0.64 | 0.29 | 31.3x | 299 | 51% |
| ROC 모멘텀 n=82, threshold=0.02 |
15.4% | -63.6% | 0.62 | 0.24 | 28.1x | 231 | 59% |
| ADX / DI 방향성 period=17, threshold=20 |
11.8% | -59.5% | 0.57 | 0.20 | 13.4x | 217 | 33% |
| Buy and hold | 23.0% | -87.8% | 0.69 | 0.26 | 125.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)