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 22.6%, MDD -36.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.2%, drawdown -46.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.6%, MDD -36.8%, Sharpe 0.89, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 9.6%p (CAGR 22.6%, 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 |
22.6% | -36.8% | 0.89 | 0.61 | 21.8x | 24 | 63% |
| EMA 크로스오버 fast=41, slow=288 |
21.9% | -38.4% | 0.83 | 0.57 | 20.0x | 14 | 76% |
| Donchian 채널 돌파 entryN=74, exitN=78 |
19.2% | -27.2% | 0.79 | 0.70 | 14.2x | 16 | 65% |
| Supertrend period=12, mult=4.8 |
19.6% | -45.1% | 0.78 | 0.44 | 15.1x | 30 | 67% |
| ROC 모멘텀 n=124, threshold=-0.01 |
16.5% | -44.8% | 0.69 | 0.37 | 10.1x | 110 | 68% |
| Parabolic SAR step=0.005, maxStep=0.16 |
12.2% | -41.1% | 0.58 | 0.30 | 5.7x | 120 | 54% |
| ADX / DI 방향성 period=35, threshold=11 |
11.7% | -43.5% | 0.56 | 0.27 | 5.3x | 132 | 57% |
| 볼린저 밴드 돌파 n=81, k=3 |
8.7% | -31.7% | 0.54 | 0.27 | 3.5x | 20 | 26% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=2.3 |
8.5% | -38.3% | 0.51 | 0.22 | 3.4x | 60 | 36% |
| MACD fast=18, slow=29, signal=17 |
2.6% | -53.9% | 0.23 | 0.05 | 1.5x | 195 | 52% |
| Buy and hold | 27.2% | -46.4% | 0.88 | 0.59 | 37.9x | 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