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 EMA 크로스오버 (CAGR 68.3%, MDD -35.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 76.9%, drawdown -44.9%).
Sharpe leader (same as main): MACD — CAGR 64.1%, MDD -37.8%, Sharpe 1.51, 46% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 70.0%, MDD -36.4%, exposure 73%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.8%p lower than buy and hold, while drawdown improves by 7.1%p (CAGR 68.3%, MDD -35.0%, 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 |
64.1% | -37.8% | 1.51 | 1.70 | 18.5x | 45 | 46% |
| SMA 크로스오버 fast=12, slow=23 |
65.3% | -48.0% | 1.44 | 1.36 | 19.2x | 57 | 54% |
| ROC 모멘텀 n=145, threshold=-0.02 |
70.0% | -36.4% | 1.41 | 1.92 | 22.7x | 31 | 73% |
| EMA 크로스오버 fast=42, slow=214 |
68.3% | -35.0% | 1.40 | 1.95 | 21.4x | 4 | 73% |
| 볼린저 밴드 돌파 n=27, k=1 |
55.2% | -35.7% | 1.33 | 1.55 | 13.3x | 59 | 46% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=1.6 |
45.9% | -33.8% | 1.23 | 1.36 | 9.2x | 41 | 36% |
| Supertrend period=16, mult=4.8 |
50.2% | -46.6% | 1.17 | 1.08 | 11.0x | 17 | 64% |
| ADX / DI 방향성 period=21, threshold=37 |
25.1% | -19.8% | 1.16 | 1.27 | 3.7x | 6 | 12% |
| Donchian 채널 돌파 entryN=60, exitN=16 |
38.8% | -35.0% | 1.14 | 1.11 | 6.9x | 21 | 29% |
| Parabolic SAR step=0.015, maxStep=0.34 |
34.0% | -45.2% | 0.95 | 0.75 | 5.6x | 99 | 52% |
| Buy and hold | 76.9% | -44.9% | 1.41 | 1.71 | 28.7x | 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