Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sundram Fasteners Limited backtest
10 trend-following strategies were compared on the full daily history of Sundram Fasteners Limited. 4 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 17.6%, MDD -40.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.8%, drawdown -85.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.6%, MDD -40.1%, Sharpe 0.83, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.8%, MDD -62.7%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 45.3%p (CAGR 17.6%, MDD -40.1%, exposure 36%).
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=56, k=2.4 |
17.6% | -40.1% | 0.83 | 0.44 | 49.4x | 69 | 36% |
| Supertrend period=13, mult=3.3 |
19.6% | -48.8% | 0.79 | 0.40 | 73.8x | 83 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=2.7 |
16.2% | -44.0% | 0.78 | 0.37 | 37.0x | 67 | 36% |
| Donchian 채널 돌파 entryN=11, exitN=57 |
21.7% | -80.2% | 0.77 | 0.27 | 113.2x | 63 | 79% |
| SMA 크로스오버 fast=27, slow=111 |
22.8% | -62.7% | 0.74 | 0.36 | 139.7x | 49 | 59% |
| EMA 크로스오버 fast=38, slow=61 |
21.3% | -59.0% | 0.70 | 0.36 | 105.5x | 59 | 61% |
| ROC 모멘텀 n=82, threshold=-0.04 |
17.4% | -65.8% | 0.69 | 0.26 | 47.5x | 177 | 65% |
| ADX / DI 방향성 period=37, threshold=17 |
14.5% | -75.8% | 0.67 | 0.19 | 26.0x | 82 | 39% |
| MACD fast=38, slow=45, signal=29 |
14.6% | -53.6% | 0.65 | 0.27 | 26.8x | 157 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
10.0% | -69.0% | 0.49 | 0.15 | 10.0x | 199 | 54% |
| Buy and hold | 18.8% | -85.5% | 0.61 | 0.22 | 63.2x | 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 56-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 56-day middle average