Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PI Industries Limited backtest
10 trend-following strategies were compared on the full daily history of PI Industries Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.4%, MDD -36.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.8%, drawdown -49.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.4%, MDD -36.8%, Sharpe 0.88, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 13.1%p (CAGR 22.4%, MDD -36.8%, exposure 63%).
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=44, slow=138 |
22.4% | -36.8% | 0.88 | 0.61 | 21.8x | 24 | 63% |
| EMA 크로스오버 fast=41, slow=288 |
21.7% | -38.4% | 0.82 | 0.57 | 20.0x | 14 | 76% |
| Donchian 채널 돌파 entryN=74, exitN=78 |
19.1% | -27.2% | 0.79 | 0.70 | 14.2x | 16 | 65% |
| Supertrend period=12, mult=4.8 |
19.5% | -45.1% | 0.78 | 0.43 | 15.1x | 30 | 67% |
| ROC 모멘텀 n=124, threshold=-0.01 |
16.4% | -44.8% | 0.69 | 0.37 | 10.1x | 110 | 68% |
| ADX / DI 방향성 period=35, threshold=11 |
11.5% | -43.5% | 0.56 | 0.27 | 5.3x | 134 | 57% |
| 볼린저 밴드 돌파 n=81, k=3 |
8.6% | -31.7% | 0.54 | 0.27 | 3.5x | 20 | 26% |
| Parabolic SAR step=0.005, maxStep=0.16 |
11.2% | -41.1% | 0.54 | 0.27 | 5.0x | 122 | 54% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=2.3 |
8.4% | -38.3% | 0.50 | 0.22 | 3.4x | 60 | 36% |
| MACD fast=18, slow=29, signal=17 |
1.9% | -53.9% | 0.20 | 0.03 | 1.3x | 196 | 52% |
| Buy and hold | 25.8% | -49.9% | 0.85 | 0.52 | 32.7x | 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 44-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 44-day average falls below the 138-day average