Trend-Following Backtester · Guide · backtest 한국어
equity · IN
SML Mahindra Limited backtest
10 trend-following strategies were compared on the full daily history of SML Mahindra Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.4%, MDD -56.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.6%, drawdown -81.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.9%, MDD -65.7%, Sharpe 0.74, 83% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 17.4%, MDD -56.5%, exposure 61%).
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=10, exitN=76 |
24.9% | -65.7% | 0.74 | 0.38 | 211.9x | 47 | 83% |
| EMA 크로스오버 fast=49, slow=188 |
18.7% | -71.7% | 0.65 | 0.26 | 62.3x | 27 | 64% |
| SMA 크로스오버 fast=18, slow=191 |
17.4% | -56.5% | 0.62 | 0.31 | 47.9x | 49 | 61% |
| Supertrend period=24, mult=2.7 |
16.6% | -70.2% | 0.62 | 0.24 | 40.1x | 145 | 47% |
| ADX / DI 방향성 period=33, threshold=33 |
7.4% | -43.0% | 0.56 | 0.17 | 5.5x | 16 | 10% |
| ROC 모멘텀 n=101, threshold=-0.03 |
14.6% | -77.7% | 0.55 | 0.19 | 26.7x | 215 | 64% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
12.8% | -50.6% | 0.54 | 0.25 | 18.2x | 143 | 41% |
| Parabolic SAR step=0.01, maxStep=0.34 |
12.5% | -73.8% | 0.51 | 0.17 | 17.0x | 289 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=17, mult=0.8 |
10.3% | -68.2% | 0.47 | 0.15 | 10.6x | 261 | 41% |
| MACD fast=17, slow=70, signal=13 |
6.1% | -78.9% | 0.34 | 0.08 | 4.2x | 289 | 48% |
| Buy and hold | 19.6% | -81.2% | 0.61 | 0.24 | 74.0x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 76 days