Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Power Mech Projects Ltd. backtest
10 trend-following strategies were compared on the full daily history of Power Mech Projects Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.7%, MDD -40.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.9%, drawdown -71.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.7%, MDD -40.6%, Sharpe 0.86, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 23.9%, MDD -45.8%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 23.7%, MDD -40.6%, exposure 57%).
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=9, slow=187 |
23.7% | -40.6% | 0.86 | 0.58 | 10.3x | 21 | 57% |
| EMA 크로스오버 fast=34, slow=170 |
23.9% | -45.8% | 0.85 | 0.52 | 10.4x | 15 | 60% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=25, mult=3.3 |
17.2% | -33.8% | 0.82 | 0.51 | 5.7x | 26 | 28% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
21.2% | -50.2% | 0.82 | 0.42 | 8.2x | 56 | 45% |
| ROC 모멘텀 n=147, threshold=0.05 |
19.7% | -52.9% | 0.76 | 0.37 | 7.1x | 57 | 54% |
| Supertrend period=25, mult=4.4 |
18.6% | -52.3% | 0.74 | 0.36 | 6.4x | 31 | 51% |
| Donchian 채널 돌파 entryN=27, exitN=75 |
18.0% | -60.2% | 0.67 | 0.30 | 6.1x | 21 | 68% |
| MACD fast=19, slow=40, signal=23 |
16.3% | -34.0% | 0.66 | 0.48 | 5.2x | 98 | 48% |
| ADX / DI 방향성 period=41, threshold=25 |
9.5% | -23.5% | 0.60 | 0.41 | 2.7x | 16 | 20% |
| Parabolic SAR step=0.02, maxStep=0.16 |
14.4% | -51.6% | 0.60 | 0.28 | 4.3x | 201 | 52% |
| Buy and hold | 21.9% | -71.2% | 0.68 | 0.31 | 8.7x | 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 9-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 9-day average falls below the 187-day average