Trend-Following Backtester · Guide · backtest 한국어
equity · IN
RITES Ltd. backtest
10 trend-following strategies were compared on the full daily history of RITES Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -56.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -37.0%, Sharpe 0.43, 52% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=175 |
8.5% | -37.0% | 0.43 | 0.23 | 1.9x | 11 | 52% |
| EMA 크로스오버 fast=52, slow=160 |
5.8% | -41.3% | 0.34 | 0.14 | 1.6x | 12 | 52% |
| Donchian 채널 돌파 entryN=54, exitN=74 |
4.9% | -46.5% | 0.31 | 0.10 | 1.5x | 11 | 59% |
| Supertrend period=8, mult=2.5 |
4.6% | -61.5% | 0.30 | 0.07 | 1.4x | 61 | 50% |
| MACD fast=15, slow=41, signal=15 |
4.1% | -46.3% | 0.28 | 0.09 | 1.4x | 94 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.2% | -58.2% | 0.25 | 0.06 | 1.3x | 98 | 41% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
1.9% | -13.0% | 0.25 | 0.15 | 1.2x | 8 | 4% |
| ROC 모멘텀 n=98, threshold=0 |
1.4% | -54.8% | 0.19 | 0.03 | 1.1x | 71 | 54% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=3 |
0.1% | -27.6% | 0.10 | 0.01 | 1.0x | 24 | 23% |
| ADX / DI 방향성 period=23, threshold=38 |
0.1% | -12.0% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| Buy and hold | 12.0% | -56.2% | 0.49 | 0.21 | 2.5x | 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 31-day average price crosses above the 175-day average
- Sell — Sell (to cash) when the 31-day average falls below the 175-day average