Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Elxsi Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Elxsi Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.1%, MDD -59.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.8%, drawdown -81.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.6%, MDD -70.5%, Sharpe 0.74, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 10.6%p (CAGR 17.1%, MDD -59.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=19, slow=161 |
24.6% | -70.5% | 0.74 | 0.35 | 200.1x | 32 | 56% |
| EMA 크로스오버 fast=49, slow=91 |
23.6% | -70.7% | 0.72 | 0.33 | 163.6x | 36 | 57% |
| Donchian 채널 돌파 entryN=57, exitN=37 |
19.5% | -68.6% | 0.65 | 0.28 | 73.5x | 46 | 47% |
| ROC 모멘텀 n=85, threshold=-0.02 |
19.5% | -73.3% | 0.63 | 0.27 | 72.7x | 224 | 60% |
| ADX / DI 방향성 period=38, threshold=22 |
11.3% | -45.0% | 0.62 | 0.25 | 13.0x | 38 | 17% |
| Supertrend period=25, mult=4.2 |
17.1% | -59.4% | 0.60 | 0.29 | 45.0x | 80 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=2.4 |
13.4% | -65.6% | 0.52 | 0.20 | 20.7x | 92 | 36% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
13.5% | -58.8% | 0.52 | 0.23 | 21.0x | 148 | 41% |
| MACD fast=14, slow=51, signal=14 |
12.2% | -67.1% | 0.48 | 0.18 | 16.1x | 289 | 51% |
| Parabolic SAR step=0.03, maxStep=0.16 |
5.9% | -70.6% | 0.35 | 0.08 | 4.0x | 619 | 50% |
| Buy and hold | 18.8% | -81.0% | 0.59 | 0.23 | 63.7x | 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 19-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 19-day average falls below the 161-day average