Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Shivalik Bimetal Controls Ltd backtest
10 trend-following strategies were compared on the full daily history of Shivalik Bimetal Controls Ltd. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 42.4%, MDD -37.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 54.8%, drawdown -47.5%).
Sharpe leader (same as main): Supertrend — CAGR 42.4%, MDD -37.3%, Sharpe 1.09, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 45.1%, MDD -43.9%, exposure 86%.
Return/drawdown alternative: Supertrend — CAGR is 12.4%p lower than buy and hold, while drawdown improves by 10.3%p (CAGR 42.4%, MDD -37.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.6 |
42.4% | -37.3% | 1.09 | 1.14 | 6.1x | 13 | 53% |
| EMA 크로스오버 fast=15, slow=23 |
40.5% | -39.9% | 1.06 | 1.02 | 5.7x | 29 | 55% |
| Donchian 채널 돌파 entryN=21, exitN=87 |
45.1% | -43.9% | 1.05 | 1.03 | 6.7x | 7 | 86% |
| SMA 크로스오버 fast=47, slow=64 |
33.7% | -43.4% | 0.94 | 0.78 | 4.4x | 19 | 59% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=1.5 |
30.4% | -38.8% | 0.94 | 0.78 | 3.9x | 27 | 44% |
| ADX / DI 방향성 period=24, threshold=19 |
27.4% | -38.6% | 0.92 | 0.71 | 3.4x | 21 | 32% |
| ROC 모멘텀 n=25, threshold=0.07 |
28.7% | -43.1% | 0.91 | 0.67 | 3.6x | 92 | 40% |
| 볼린저 밴드 돌파 n=46, k=0.9 |
28.4% | -37.7% | 0.88 | 0.75 | 3.6x | 34 | 47% |
| MACD fast=6, slow=26, signal=14 |
19.1% | -42.5% | 0.69 | 0.45 | 2.4x | 102 | 46% |
| Parabolic SAR step=0.03, maxStep=0.1 |
12.3% | -61.7% | 0.50 | 0.20 | 1.8x | 119 | 53% |
| Buy and hold | 54.8% | -47.5% | 1.14 | 1.15 | 9.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)