Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sundaram Finance Limited backtest
10 trend-following strategies were compared on the full daily history of Sundaram Finance Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 22.7%, MDD -40.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.1%, drawdown -65.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.3%, MDD -49.3%, Sharpe 0.90, 64% exposure.
CAGR reference leader: Supertrend — CAGR 22.7%, MDD -40.0%, exposure 70%.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 16.4%p (CAGR 22.7%, MDD -40.0%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=96 |
22.3% | -49.3% | 0.90 | 0.45 | 130.2x | 51 | 64% |
| Supertrend period=12, mult=3.9 |
22.7% | -40.0% | 0.89 | 0.57 | 140.5x | 45 | 70% |
| EMA 크로스오버 fast=49, slow=62 |
22.0% | -43.7% | 0.88 | 0.50 | 122.7x | 42 | 66% |
| Donchian 채널 돌파 entryN=66, exitN=56 |
21.6% | -44.1% | 0.86 | 0.49 | 112.6x | 29 | 66% |
| ROC 모멘텀 n=80, threshold=-0.03 |
19.9% | -51.6% | 0.80 | 0.39 | 81.0x | 208 | 71% |
| ADX / DI 방향성 period=43, threshold=13 |
17.5% | -48.0% | 0.77 | 0.36 | 49.2x | 100 | 56% |
| 볼린저 밴드 돌파 n=77, k=0.9 |
14.1% | -50.0% | 0.65 | 0.28 | 24.2x | 125 | 55% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=9, mult=1.2 |
13.7% | -44.8% | 0.64 | 0.31 | 22.4x | 130 | 54% |
| Parabolic SAR step=0.005, maxStep=0.4 |
6.5% | -51.0% | 0.38 | 0.13 | 4.6x | 178 | 56% |
| MACD fast=21, slow=56, signal=17 |
6.3% | -59.6% | 0.37 | 0.11 | 4.4x | 237 | 49% |
| Buy and hold | 23.1% | -65.7% | 0.80 | 0.35 | 152.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 26-day average falls below the 96-day average