Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Transformers and Rectifiers (India) Limited backtest
10 trend-following strategies were compared on the full daily history of Transformers and Rectifiers (India) Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.8%, MDD -45.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.8%, drawdown -93.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.8%, MDD -48.8%, Sharpe 0.92, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 19.8%, MDD -45.4%, exposure 22%).
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=11, slow=204 |
32.8% | -48.8% | 0.92 | 0.67 | 199.6x | 27 | 52% |
| Donchian 채널 돌파 entryN=78, exitN=105 |
31.6% | -59.2% | 0.88 | 0.53 | 169.1x | 12 | 53% |
| EMA 크로스오버 fast=21, slow=203 |
30.5% | -48.1% | 0.88 | 0.63 | 144.4x | 20 | 53% |
| ROC 모멘텀 n=131, threshold=-0.02 |
30.8% | -59.7% | 0.86 | 0.52 | 149.9x | 115 | 54% |
| 볼린저 밴드 돌파 n=40, k=2.9 |
19.8% | -45.4% | 0.74 | 0.44 | 29.2x | 54 | 22% |
| MACD fast=9, slow=38, signal=13 |
24.2% | -75.1% | 0.73 | 0.32 | 56.9x | 277 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=2.6 |
17.8% | -55.8% | 0.66 | 0.32 | 21.4x | 60 | 29% |
| ADX / DI 방향성 period=48, threshold=9 |
20.3% | -78.9% | 0.65 | 0.26 | 31.6x | 112 | 63% |
| Supertrend period=11, mult=2.2 |
18.3% | -78.2% | 0.62 | 0.23 | 23.2x | 147 | 41% |
| Parabolic SAR step=0.025, maxStep=0.24 |
9.7% | -78.7% | 0.43 | 0.12 | 5.6x | 435 | 48% |
| Buy and hold | 12.8% | -93.7% | 0.49 | 0.14 | 9.5x | 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 11-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 11-day average falls below the 204-day average