Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Mazagon Dock Shipbuilders Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mazagon Dock Shipbuilders Ltd.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 72.0%, MDD -34.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 77.2%, drawdown -44.9%).
Sharpe leader (same as main): MACD — CAGR 66.1%, MDD -37.2%, Sharpe 1.54, 45% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 72.0%, MDD -34.8%, exposure 73%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.1%p lower than buy and hold, while drawdown improves by 7.8%p (CAGR 72.0%, MDD -34.8%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=51, signal=21 |
66.1% | -37.2% | 1.54 | 1.78 | 18.9x | 44 | 45% |
| SMA 크로스오버 fast=12, slow=23 |
67.7% | -45.8% | 1.47 | 1.48 | 20.1x | 56 | 54% |
| ROC 모멘텀 n=145, threshold=-0.02 |
72.0% | -34.8% | 1.43 | 2.07 | 23.2x | 30 | 73% |
| EMA 크로스오버 fast=42, slow=214 |
69.6% | -35.0% | 1.41 | 1.99 | 21.4x | 4 | 74% |
| 볼린저 밴드 돌파 n=27, k=1 |
56.9% | -34.1% | 1.35 | 1.67 | 13.6x | 58 | 45% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=1.6 |
47.3% | -33.8% | 1.25 | 1.40 | 9.5x | 40 | 35% |
| Supertrend period=16, mult=4.8 |
52.2% | -46.6% | 1.20 | 1.12 | 11.4x | 16 | 64% |
| Donchian 채널 돌파 entryN=60, exitN=16 |
40.9% | -35.0% | 1.18 | 1.17 | 7.3x | 20 | 29% |
| ADX / DI 방향성 period=21, threshold=37 |
25.5% | -19.8% | 1.17 | 1.29 | 3.7x | 6 | 12% |
| Parabolic SAR step=0.015, maxStep=0.34 |
34.1% | -45.2% | 0.95 | 0.75 | 5.5x | 96 | 51% |
| Buy and hold | 77.2% | -44.9% | 1.40 | 1.72 | 27.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/51) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line