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 30.6%, MDD -55.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 30.5%, drawdown -80.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.6%, MDD -55.3%, Sharpe 1.03, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 30.6%, MDD -55.3%, 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 |
30.6% | -55.3% | 1.03 | 0.55 | 806.8x | 115 | 79% |
| Supertrend period=9, mult=2.6 |
25.1% | -53.8% | 0.98 | 0.47 | 274.0x | 153 | 59% |
| SMA 크로스오버 fast=13, slow=55 |
22.3% | -66.0% | 0.88 | 0.34 | 154.3x | 125 | 61% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
20.7% | -55.0% | 0.88 | 0.38 | 111.9x | 133 | 51% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=1.2 |
20.4% | -56.8% | 0.87 | 0.36 | 104.8x | 163 | 51% |
| EMA 크로스오버 fast=25, slow=126 |
23.5% | -66.7% | 0.87 | 0.35 | 197.0x | 53 | 69% |
| MACD fast=16, slow=41, signal=24 |
19.3% | -58.2% | 0.84 | 0.33 | 83.5x | 235 | 51% |
| ROC 모멘텀 n=148, threshold=0.1 |
18.6% | -56.5% | 0.79 | 0.33 | 71.5x | 192 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
15.6% | -72.1% | 0.69 | 0.22 | 38.3x | 213 | 56% |
| ADX / DI 방향성 period=25, threshold=12 |
14.9% | -51.7% | 0.66 | 0.29 | 32.5x | 309 | 55% |
| Buy and hold | 30.5% | -80.0% | 0.93 | 0.38 | 786.5x | 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