Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PG Electroplast Limited backtest
10 trend-following strategies were compared on the full daily history of PG Electroplast Limited. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 28.2%, MDD -55.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 19.9%, drawdown -94.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 44.9%, MDD -57.8%, Sharpe 1.05, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 28.2%, MDD -55.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=2, slow=83 |
44.9% | -57.8% | 1.05 | 0.78 | 245.0x | 99 | 54% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=24, mult=0.6 |
40.7% | -59.0% | 1.00 | 0.69 | 158.2x | 141 | 50% |
| SMA 크로스오버 fast=6, slow=83 |
42.0% | -61.2% | 1.00 | 0.69 | 181.5x | 57 | 56% |
| ROC 모멘텀 n=88, threshold=-0.06 |
43.1% | -60.9% | 0.99 | 0.71 | 205.0x | 101 | 60% |
| Supertrend period=16, mult=5 |
40.0% | -61.3% | 0.96 | 0.65 | 148.0x | 33 | 56% |
| 볼린저 밴드 돌파 n=30, k=1.4 |
34.7% | -67.4% | 0.94 | 0.52 | 83.5x | 115 | 42% |
| Donchian 채널 돌파 entryN=79, exitN=28 |
29.2% | -55.4% | 0.87 | 0.53 | 44.7x | 31 | 41% |
| ADX / DI 방향성 period=19, threshold=16 |
28.2% | -55.0% | 0.79 | 0.51 | 40.2x | 159 | 50% |
| MACD fast=9, slow=31, signal=10 |
26.1% | -86.7% | 0.74 | 0.30 | 31.1x | 264 | 51% |
| Parabolic SAR step=0.04, maxStep=0.16 |
18.8% | -89.7% | 0.61 | 0.21 | 12.9x | 463 | 50% |
| Buy and hold | 19.9% | -94.6% | 0.60 | 0.21 | 14.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 2-day EMA crosses above the 83-day EMA
- Sell — Sell when the 2-day EMA falls below the 83-day EMA