Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Reliance Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Reliance Industries Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.4%, drawdown -77.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.9%, MDD -77.6%, Sharpe 0.39, 74% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=131, slow=236 |
14.9% | -77.6% | 0.39 | 0.19 | 70.8x | 20 | 74% |
| ROC 모멘텀 n=133, threshold=-0.11 |
12.4% | -77.6% | 0.36 | 0.16 | 36.1x | 164 | 83% |
| SMA 크로스오버 fast=49, slow=91 |
12.9% | -77.6% | 0.36 | 0.17 | 40.8x | 92 | 59% |
| Donchian 채널 돌파 entryN=65, exitN=56 |
10.5% | -77.6% | 0.33 | 0.13 | 20.9x | 58 | 55% |
| Supertrend period=11, mult=3.7 |
10.3% | -77.5% | 0.33 | 0.13 | 20.0x | 152 | 55% |
| MACD fast=16, slow=55, signal=17 |
8.5% | -77.9% | 0.30 | 0.11 | 12.3x | 339 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=1.7 |
8.5% | -77.9% | 0.30 | 0.11 | 12.2x | 190 | 43% |
| 볼린저 밴드 돌파 n=40, k=2.2 |
7.7% | -79.0% | 0.28 | 0.10 | 9.7x | 136 | 31% |
| Parabolic SAR step=0.01, maxStep=0.12 |
5.9% | -77.4% | 0.26 | 0.08 | 5.8x | 402 | 53% |
| ADX / DI 방향성 period=29, threshold=8 |
4.0% | -79.0% | 0.24 | 0.05 | 3.3x | 426 | 58% |
| Buy and hold | 18.4% | -77.6% | 0.44 | 0.24 | 177.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 131-day EMA crosses above the 236-day EMA
- Sell — Sell when the 131-day EMA falls below the 236-day EMA