Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Steel Authority of India Limited backtest
10 trend-following strategies were compared on the full daily history of Steel Authority of India Limited. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.4%, MDD -56.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.7%, drawdown -92.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.1%, MDD -61.4%, Sharpe 0.56, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 8.4%, MDD -56.8%, exposure 18%).
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=7, slow=238 |
15.1% | -61.4% | 0.56 | 0.25 | 74.6x | 71 | 48% |
| ROC 모멘텀 n=152, threshold=-0.04 |
14.2% | -80.1% | 0.53 | 0.18 | 59.2x | 159 | 52% |
| MACD fast=18, slow=52, signal=17 |
12.4% | -65.5% | 0.50 | 0.19 | 36.0x | 303 | 50% |
| Donchian 채널 돌파 entryN=40, exitN=41 |
12.2% | -76.1% | 0.49 | 0.16 | 33.8x | 85 | 49% |
| Supertrend period=8, mult=3.8 |
11.4% | -78.1% | 0.47 | 0.15 | 27.3x | 137 | 46% |
| EMA 크로스오버 fast=38, slow=167 |
10.9% | -75.4% | 0.46 | 0.14 | 23.8x | 53 | 47% |
| 볼린저 밴드 돌파 n=48, k=1.2 |
10.1% | -71.1% | 0.45 | 0.14 | 19.1x | 189 | 38% |
| ADX / DI 방향성 period=9, threshold=35 |
8.4% | -56.8% | 0.44 | 0.15 | 11.9x | 264 | 18% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=1.4 |
8.6% | -74.3% | 0.41 | 0.12 | 12.6x | 253 | 32% |
| Parabolic SAR step=0.005, maxStep=0.32 |
8.5% | -81.5% | 0.41 | 0.10 | 12.3x | 237 | 47% |
| Buy and hold | 6.7% | -92.9% | 0.38 | 0.07 | 7.3x | 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 7-day average price crosses above the 238-day average
- Sell — Sell (to cash) when the 7-day average falls below the 238-day average