Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Solar Industries India Limited backtest
10 trend-following strategies were compared on the full daily history of Solar Industries India Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 30.4%, MDD -30.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 33.7%, drawdown -65.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 30.4%, MDD -30.4%, Sharpe 1.23, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 33.0%, MDD -48.5%, exposure 66%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 35.1%p (CAGR 30.4%, MDD -30.4%, exposure 51%).
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=77, k=1.6 |
30.4% | -30.4% | 1.23 | 1.00 | 225.4x | 57 | 51% |
| EMA 크로스오버 fast=43, slow=54 |
33.0% | -48.5% | 1.18 | 0.68 | 336.9x | 45 | 66% |
| SMA 크로스오버 fast=47, slow=149 |
31.3% | -58.2% | 1.16 | 0.54 | 259.4x | 27 | 66% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=1.8 |
27.4% | -34.9% | 1.16 | 0.79 | 141.1x | 67 | 45% |
| Supertrend period=11, mult=5 |
31.6% | -49.1% | 1.10 | 0.64 | 273.7x | 29 | 70% |
| Donchian 채널 돌파 entryN=108, exitN=74 |
28.9% | -55.1% | 1.10 | 0.53 | 178.7x | 19 | 67% |
| ROC 모멘텀 n=159, threshold=0.02 |
28.6% | -48.4% | 1.08 | 0.59 | 169.9x | 123 | 68% |
| ADX / DI 방향성 period=28, threshold=12 |
22.9% | -49.7% | 0.96 | 0.46 | 66.9x | 167 | 54% |
| MACD fast=7, slow=57, signal=19 |
13.6% | -50.0% | 0.64 | 0.27 | 13.4x | 291 | 50% |
| Parabolic SAR step=0.02, maxStep=0.36 |
11.7% | -48.9% | 0.57 | 0.24 | 9.6x | 439 | 55% |
| Buy and hold | 33.7% | -65.5% | 1.00 | 0.52 | 378.0x | 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 77-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 77-day middle average