Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Multi Commodity Exchange of India Limited backtest
10 trend-following strategies were compared on the full daily history of Multi Commodity Exchange of India Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.1%, MDD -38.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 19.4%, drawdown -84.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.8%, MDD -38.3%, Sharpe 0.92, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 22.1%, MDD -38.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=97 |
27.8% | -38.3% | 0.92 | 0.73 | 34.8x | 30 | 61% |
| ROC 모멘텀 n=97, threshold=0.01 |
24.2% | -45.4% | 0.87 | 0.53 | 22.9x | 105 | 58% |
| EMA 크로스오버 fast=46, slow=216 |
22.1% | -38.3% | 0.81 | 0.58 | 18.0x | 13 | 61% |
| Donchian 채널 돌파 entryN=72, exitN=65 |
20.4% | -52.7% | 0.75 | 0.39 | 14.7x | 19 | 59% |
| Supertrend period=9, mult=4.5 |
19.1% | -44.8% | 0.72 | 0.43 | 12.6x | 41 | 60% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
11.0% | -35.1% | 0.62 | 0.31 | 4.5x | 45 | 24% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=3 |
10.5% | -39.3% | 0.56 | 0.27 | 4.2x | 41 | 31% |
| MACD fast=19, slow=59, signal=20 |
10.9% | -61.8% | 0.51 | 0.18 | 4.4x | 129 | 51% |
| Parabolic SAR step=0.01, maxStep=0.32 |
9.6% | -67.2% | 0.47 | 0.14 | 3.8x | 187 | 52% |
| ADX / DI 방향성 period=29, threshold=17 |
5.1% | -37.7% | 0.34 | 0.13 | 2.0x | 68 | 30% |
| Buy and hold | 19.4% | -84.7% | 0.64 | 0.23 | 13.0x | 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 57-day average price crosses above the 97-day average
- Sell — Sell (to cash) when the 57-day average falls below the 97-day average