Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PC Jeweller Ltd. backtest
10 trend-following strategies were compared on the full daily history of PC Jeweller Ltd.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 27.2%, MDD -35.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.8%, drawdown -98.6%).
Sharpe leader (same as main): Supertrend — CAGR 58.2%, MDD -45.5%, Sharpe 1.29, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 55.4%p higher than buy and hold, while drawdown improves by 53.2%p (CAGR 27.2%, MDD -35.7%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=0.4 |
58.2% | -45.5% | 1.29 | 1.28 | 530.8x | 676 | 42% |
| 볼린저 밴드 돌파 n=21, k=3 |
27.2% | -35.7% | 0.99 | 0.76 | 26.7x | 49 | 17% |
| Donchian 채널 돌파 entryN=68, exitN=14 |
25.4% | -47.7% | 0.94 | 0.53 | 22.0x | 37 | 23% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=15, mult=2.2 |
24.1% | -39.3% | 0.87 | 0.61 | 19.2x | 71 | 20% |
| ROC 모멘텀 n=13, threshold=0.01 |
28.0% | -56.2% | 0.83 | 0.50 | 29.3x | 355 | 44% |
| EMA 크로스오버 fast=13, slow=45 |
26.8% | -58.5% | 0.81 | 0.46 | 25.7x | 65 | 49% |
| MACD fast=10, slow=38, signal=17 |
25.0% | -79.0% | 0.73 | 0.32 | 21.1x | 173 | 52% |
| ADX / DI 방향성 period=30, threshold=13 |
21.7% | -68.7% | 0.72 | 0.32 | 14.6x | 93 | 41% |
| SMA 크로스오버 fast=13, slow=187 |
21.9% | -64.7% | 0.70 | 0.34 | 15.1x | 29 | 48% |
| Parabolic SAR step=0.02, maxStep=0.3 |
20.1% | -70.3% | 0.65 | 0.29 | 12.2x | 255 | 49% |
| Buy and hold | 2.8% | -98.6% | 0.35 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 0.4× band
- Sell — Sell when price drops below the trend line (flips down)