Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Power Grid Corporation of India Limited backtest
10 trend-following strategies were compared on the full daily history of Power Grid Corporation of 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 8.5%, MDD -29.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -64.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -29.5%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 8.5%, MDD -29.5%, exposure 55%).
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=51, slow=259 |
8.5% | -29.5% | 0.54 | 0.29 | 4.7x | 22 | 55% |
| Donchian 채널 돌파 entryN=89, exitN=103 |
6.7% | -39.5% | 0.43 | 0.17 | 3.4x | 14 | 68% |
| EMA 크로스오버 fast=57, slow=139 |
5.6% | -37.1% | 0.39 | 0.15 | 2.8x | 26 | 58% |
| ADX / DI 방향성 period=36, threshold=22 |
2.4% | -21.5% | 0.33 | 0.11 | 1.6x | 10 | 8% |
| ROC 모멘텀 n=151, threshold=0.01 |
4.1% | -48.1% | 0.31 | 0.09 | 2.1x | 171 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.7% | -44.1% | 0.14 | 0.02 | 1.1x | 146 | 55% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
0.2% | -18.6% | 0.07 | 0.01 | 1.0x | 18 | 3% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=4 |
-0.1% | -23.9% | 0.02 | -0.00 | 1.0x | 10 | 4% |
| Supertrend period=13, mult=2.8 |
-1.8% | -62.0% | 0.01 | -0.03 | 0.7x | 114 | 51% |
| MACD fast=18, slow=28, signal=20 |
-3.2% | -62.9% | -0.08 | -0.05 | 0.5x | 230 | 50% |
| Buy and hold | 8.4% | -64.1% | 0.43 | 0.13 | 4.6x | 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 51-day average price crosses above the 259-day average
- Sell — Sell (to cash) when the 51-day average falls below the 259-day average