Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Kirloskar Oil Engines Limited backtest
10 trend-following strategies were compared on the full daily history of Kirloskar Oil Engines Limited. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.1%, MDD -60.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 24.3%, drawdown -91.6%).
Sharpe leader (same as main): Supertrend — CAGR 29.2%, MDD -67.0%, Sharpe 0.75, 62% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 36.8%, MDD -74.2%, exposure 62%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 28.1%, MDD -60.1%, exposure 60%).
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=4.7 |
29.2% | -67.0% | 0.75 | 0.44 | 474.0x | 37 | 62% |
| ROC 모멘텀 n=189, threshold=0.04 |
28.1% | -60.1% | 0.74 | 0.47 | 387.3x | 75 | 60% |
| EMA 크로스오버 fast=26, slow=82 |
36.8% | -74.2% | 0.70 | 0.50 | 1871.9x | 41 | 62% |
| SMA 크로스오버 fast=8, slow=98 |
36.5% | -73.1% | 0.70 | 0.50 | 1782.7x | 65 | 61% |
| Donchian 채널 돌파 entryN=65, exitN=29 |
17.7% | -90.3% | 0.68 | 0.20 | 50.5x | 49 | 49% |
| 볼린저 밴드 돌파 n=67, k=3.3 |
12.3% | -57.5% | 0.64 | 0.21 | 16.4x | 42 | 27% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=27, mult=1.3 |
18.5% | -96.1% | 0.59 | 0.19 | 58.7x | 69 | 56% |
| ADX / DI 방향성 period=38, threshold=16 |
24.0% | -78.9% | 0.57 | 0.30 | 175.9x | 91 | 46% |
| Parabolic SAR step=0.005, maxStep=0.26 |
21.7% | -83.7% | 0.54 | 0.26 | 112.3x | 182 | 55% |
| MACD fast=14, slow=92, signal=23 |
9.6% | -85.2% | 0.41 | 0.11 | 9.2x | 218 | 52% |
| Buy and hold | 24.3% | -91.6% | 0.58 | 0.27 | 188.7x | 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, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)