Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Shyam Metalics & Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of Shyam Metalics & Energy Ltd.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 23.5%, MDD -26.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.7%, drawdown -42.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.9%, MDD -14.2%, Sharpe 0.99, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 23.5%, MDD -26.5%, exposure 53%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.8%p lower than buy and hold, while drawdown improves by 28.4%p (CAGR 23.5%, MDD -26.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=3 |
12.9% | -14.2% | 0.99 | 0.91 | 1.9x | 9 | 14% |
| EMA 크로스오버 fast=49, slow=193 |
23.5% | -26.5% | 0.97 | 0.89 | 2.9x | 3 | 53% |
| SMA 크로스오버 fast=53, slow=74 |
20.4% | -25.9% | 0.87 | 0.79 | 2.6x | 23 | 53% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=3.6 |
9.8% | -13.8% | 0.87 | 0.71 | 1.6x | 6 | 10% |
| ADX / DI 방향성 period=15, threshold=34 |
7.9% | -7.7% | 0.86 | 1.03 | 1.5x | 6 | 8% |
| ROC 모멘텀 n=120, threshold=0.08 |
14.1% | -27.1% | 0.72 | 0.52 | 2.0x | 33 | 40% |
| Donchian 채널 돌파 entryN=109, exitN=59 |
13.8% | -28.3% | 0.67 | 0.49 | 1.9x | 7 | 48% |
| MACD fast=31, slow=39, signal=18 |
11.9% | -28.5% | 0.60 | 0.42 | 1.8x | 43 | 50% |
| Supertrend period=19, mult=4 |
10.0% | -43.0% | 0.52 | 0.23 | 1.6x | 17 | 54% |
| Parabolic SAR step=0.04, maxStep=0.04 |
-1.8% | -49.0% | 0.05 | -0.04 | 0.9x | 69 | 53% |
| Buy and hold | 21.7% | -42.6% | 0.76 | 0.51 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (3× volatility)
- Sell — Sell when the close falls back to the 31-day middle average