Trend-Following Backtester · Guide · backtest 한국어
equity · IN
NLC India Limited backtest
10 trend-following strategies were compared on the full daily history of NLC India Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.5%, MDD -61.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.1%, drawdown -85.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -61.1%, Sharpe 0.62, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 17.5%, MDD -61.1%, exposure 57%).
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=72, slow=159 |
17.5% | -61.1% | 0.62 | 0.29 | 65.9x | 47 | 57% |
| EMA 크로스오버 fast=68, slow=159 |
13.4% | -62.2% | 0.53 | 0.22 | 26.2x | 33 | 58% |
| Supertrend period=18, mult=4.2 |
11.9% | -83.0% | 0.49 | 0.14 | 18.5x | 82 | 50% |
| MACD fast=20, slow=73, signal=11 |
11.3% | -90.8% | 0.49 | 0.12 | 16.2x | 294 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=33 |
11.8% | -86.0% | 0.48 | 0.14 | 18.2x | 110 | 69% |
| 볼린저 밴드 돌파 n=29, k=1.7 |
10.3% | -79.1% | 0.47 | 0.13 | 12.6x | 202 | 36% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=9, mult=2.2 |
8.6% | -56.4% | 0.43 | 0.15 | 8.5x | 110 | 27% |
| ADX / DI 방향성 period=31, threshold=14 |
9.0% | -76.4% | 0.42 | 0.12 | 9.3x | 174 | 42% |
| ROC 모멘텀 n=134, threshold=-0.01 |
9.2% | -74.1% | 0.42 | 0.12 | 9.8x | 225 | 58% |
| Parabolic SAR step=0.035, maxStep=0.32 |
0.7% | -93.3% | 0.19 | 0.01 | 1.2x | 753 | 50% |
| Buy and hold | 16.1% | -85.4% | 0.55 | 0.19 | 47.8x | 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 72-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 72-day average falls below the 159-day average