Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sona BLW Precision Forgings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sona BLW Precision Forgings Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.2%, MDD -26.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -51.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.4%, MDD -21.1%, Sharpe 0.86, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.2%, MDD -26.3%, exposure 46%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 30.2%p (CAGR 16.2%, MDD -26.3%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=15, threshold=38 |
13.4% | -21.1% | 0.86 | 0.63 | 1.9x | 7 | 10% |
| SMA 크로스오버 fast=55, slow=177 |
16.2% | -26.3% | 0.79 | 0.62 | 2.2x | 5 | 46% |
| EMA 크로스오버 fast=62, slow=63 |
16.1% | -28.7% | 0.69 | 0.56 | 2.2x | 7 | 54% |
| Supertrend period=15, mult=4.5 |
15.9% | -38.5% | 0.65 | 0.41 | 2.1x | 13 | 61% |
| ROC 모멘텀 n=132, threshold=-0.02 |
13.0% | -26.1% | 0.62 | 0.50 | 1.9x | 23 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=3.7 |
9.5% | -21.1% | 0.62 | 0.45 | 1.6x | 7 | 21% |
| Donchian 채널 돌파 entryN=32, exitN=77 |
14.4% | -44.6% | 0.60 | 0.32 | 2.0x | 7 | 71% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
6.1% | -37.9% | 0.39 | 0.16 | 1.4x | 25 | 33% |
| Parabolic SAR step=0.06, maxStep=0.2 |
-1.2% | -50.4% | 0.09 | -0.02 | 0.9x | 182 | 50% |
| MACD fast=11, slow=39, signal=8 |
-6.8% | -65.4% | -0.17 | -0.10 | 0.7x | 100 | 48% |
| Buy and hold | 16.8% | -51.3% | 0.60 | 0.33 | 2.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 15-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)