Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Mphasis Limited backtest
10 trend-following strategies were compared on the full daily history of Mphasis Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.5%, MDD -30.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.9%, drawdown -63.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.5%, MDD -30.4%, Sharpe 0.82, 21% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 15.6%, MDD -37.7%, exposure 31%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 32.6%p (CAGR 14.5%, MDD -30.4%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=2.9 |
14.5% | -30.4% | 0.82 | 0.48 | 26.2x | 40 | 21% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=24, mult=2.8 |
15.6% | -37.7% | 0.78 | 0.41 | 32.6x | 48 | 31% |
| ADX / DI 방향성 period=38, threshold=26 |
9.8% | -16.2% | 0.73 | 0.60 | 9.4x | 14 | 12% |
| Donchian 채널 돌파 entryN=64, exitN=22 |
14.2% | -38.4% | 0.72 | 0.37 | 24.4x | 54 | 34% |
| SMA 크로스오버 fast=46, slow=56 |
13.1% | -62.0% | 0.59 | 0.21 | 19.5x | 129 | 55% |
| Supertrend period=9, mult=4.7 |
12.8% | -74.1% | 0.58 | 0.17 | 18.0x | 53 | 58% |
| ROC 모멘텀 n=61, threshold=0.1 |
9.7% | -76.2% | 0.54 | 0.13 | 9.4x | 250 | 33% |
| EMA 크로스오버 fast=14, slow=77 |
8.6% | -80.9% | 0.44 | 0.11 | 7.4x | 115 | 57% |
| MACD fast=12, slow=52, signal=18 |
4.4% | -65.7% | 0.29 | 0.07 | 2.8x | 307 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.0% | -79.7% | 0.14 | -0.00 | 1.0x | 205 | 57% |
| Buy and hold | 15.9% | -63.1% | 0.58 | 0.25 | 34.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 47-day middle average