Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Maruti Suzuki India Limited backtest
10 trend-following strategies were compared on the full daily history of Maruti Suzuki India Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.5%, MDD -39.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.0%, drawdown -61.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.5%, MDD -39.7%, Sharpe 0.82, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 21.6%p (CAGR 17.5%, MDD -39.7%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=19, slow=60 |
17.5% | -39.7% | 0.82 | 0.44 | 41.7x | 74 | 61% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=2.4 |
13.2% | -30.6% | 0.79 | 0.43 | 17.8x | 90 | 38% |
| Donchian 채널 돌파 entryN=66, exitN=18 |
13.1% | -38.8% | 0.76 | 0.34 | 17.3x | 70 | 40% |
| SMA 크로스오버 fast=24, slow=77 |
15.2% | -44.3% | 0.73 | 0.34 | 26.6x | 79 | 60% |
| 볼린저 밴드 돌파 n=49, k=2.1 |
12.3% | -43.3% | 0.72 | 0.29 | 14.8x | 94 | 40% |
| Supertrend period=22, mult=4.7 |
13.2% | -44.5% | 0.67 | 0.30 | 17.7x | 69 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
12.5% | -57.3% | 0.63 | 0.22 | 15.4x | 200 | 58% |
| ROC 모멘텀 n=71, threshold=0 |
12.3% | -44.5% | 0.63 | 0.28 | 14.8x | 191 | 61% |
| ADX / DI 방향성 period=33, threshold=31 |
3.9% | -15.5% | 0.52 | 0.25 | 2.4x | 12 | 6% |
| MACD fast=19, slow=37, signal=11 |
8.7% | -43.9% | 0.50 | 0.20 | 6.9x | 304 | 51% |
| Buy and hold | 21.0% | -61.3% | 0.76 | 0.34 | 82.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 60-day EMA
- Sell — Sell when the 19-day EMA falls below the 60-day EMA