Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Schaeffler India Ltd backtest
10 trend-following strategies were compared on the full daily history of Schaeffler India Ltd. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.0%, drawdown -80.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.8%, MDD -55.9%, Sharpe 0.66, 50% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 23.3%, MDD -80.0%, exposure 73%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=15 |
12.8% | -55.9% | 0.66 | 0.23 | 18.4x | 112 | 50% |
| SMA 크로스오버 fast=49, slow=59 |
9.0% | -81.3% | 0.50 | 0.11 | 8.0x | 136 | 63% |
| EMA 크로스오버 fast=34, slow=204 |
23.3% | -80.0% | 0.44 | 0.29 | 158.6x | 31 | 73% |
| ROC 모멘텀 n=93, threshold=-0.04 |
22.6% | -80.0% | 0.43 | 0.28 | 136.9x | 189 | 72% |
| Supertrend period=14, mult=4.9 |
20.7% | -82.0% | 0.41 | 0.25 | 94.9x | 41 | 63% |
| Donchian 채널 돌파 entryN=29, exitN=42 |
20.6% | -80.0% | 0.41 | 0.26 | 93.0x | 51 | 69% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=1.1 |
17.9% | -81.6% | 0.38 | 0.22 | 53.8x | 136 | 53% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
17.1% | -81.1% | 0.37 | 0.21 | 45.6x | 110 | 48% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.8% | -86.0% | 0.28 | 0.02 | 1.5x | 207 | 54% |
| MACD fast=19, slow=40, signal=15 |
5.8% | -85.6% | 0.25 | 0.07 | 3.9x | 292 | 50% |
| Buy and hold | 27.0% | -80.7% | 0.48 | 0.33 | 323.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)