Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Shree Cement Limited backtest
10 trend-following strategies were compared on the full daily history of Shree Cement Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 30.2%, MDD -56.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 29.7%, drawdown -80.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.2%, MDD -56.1%, Sharpe 1.02, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 30.2%, MDD -56.1%, exposure 79%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=28 |
30.2% | -56.1% | 1.02 | 0.54 | 763.9x | 116 | 79% |
| Supertrend period=9, mult=2.6 |
24.9% | -53.8% | 0.97 | 0.46 | 266.9x | 154 | 59% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
20.5% | -55.0% | 0.88 | 0.37 | 109.0x | 134 | 51% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=1.2 |
20.3% | -56.8% | 0.87 | 0.36 | 104.1x | 164 | 51% |
| SMA 크로스오버 fast=13, slow=55 |
21.8% | -67.2% | 0.87 | 0.32 | 143.4x | 126 | 61% |
| EMA 크로스오버 fast=25, slow=126 |
23.0% | -66.9% | 0.86 | 0.34 | 183.1x | 54 | 69% |
| MACD fast=16, slow=41, signal=24 |
19.2% | -58.2% | 0.84 | 0.33 | 83.7x | 236 | 51% |
| ROC 모멘텀 n=148, threshold=0.1 |
18.5% | -56.5% | 0.79 | 0.33 | 71.5x | 192 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
15.5% | -72.1% | 0.69 | 0.21 | 37.4x | 214 | 56% |
| ADX / DI 방향성 period=25, threshold=12 |
14.6% | -53.9% | 0.65 | 0.27 | 30.8x | 312 | 55% |
| Buy and hold | 29.7% | -80.0% | 0.92 | 0.37 | 700.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 28 days