Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Lodha Developers Ltd. backtest
10 trend-following strategies were compared on the full daily history of Lodha Developers Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 33.5%, MDD -39.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 37.2%, drawdown -57.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.5%, MDD -39.0%, Sharpe 1.05, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 33.5%, MDD -39.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=33, slow=49 |
33.5% | -39.0% | 1.05 | 0.86 | 4.6x | 31 | 56% |
| ROC 모멘텀 n=41, threshold=0.1 |
23.8% | -25.9% | 0.95 | 0.92 | 3.1x | 69 | 37% |
| EMA 크로스오버 fast=31, slow=53 |
27.1% | -43.5% | 0.90 | 0.62 | 3.5x | 15 | 53% |
| Parabolic SAR step=0.02, maxStep=0.16 |
26.7% | -35.0% | 0.89 | 0.76 | 3.5x | 103 | 54% |
| ADX / DI 방향성 period=53, threshold=10 |
18.8% | -31.6% | 0.83 | 0.60 | 2.5x | 23 | 31% |
| Donchian 채널 돌파 entryN=56, exitN=25 |
20.6% | -38.4% | 0.82 | 0.54 | 2.7x | 13 | 39% |
| Supertrend period=27, mult=4.9 |
20.3% | -62.4% | 0.73 | 0.32 | 2.6x | 15 | 57% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
14.7% | -40.6% | 0.65 | 0.36 | 2.1x | 27 | 40% |
| MACD fast=7, slow=20, signal=6 |
15.9% | -29.7% | 0.64 | 0.54 | 2.2x | 135 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=2.6 |
12.5% | -29.4% | 0.60 | 0.43 | 1.9x | 17 | 32% |
| Buy and hold | 37.2% | -57.5% | 0.93 | 0.65 | 5.3x | 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 33-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 33-day average falls below the 49-day average