Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Investment Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Investment Corporation Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -74.6%).
Sharpe leader (same as main): Supertrend — CAGR 11.9%, MDD -72.5%, Sharpe 0.53, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=4.6 |
11.9% | -72.5% | 0.53 | 0.16 | 31.3x | 123 | 53% |
| Donchian 채널 돌파 entryN=104, exitN=39 |
10.7% | -69.2% | 0.52 | 0.15 | 22.4x | 46 | 35% |
| SMA 크로스오버 fast=52, slow=98 |
11.1% | -84.9% | 0.50 | 0.13 | 25.3x | 87 | 57% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
8.4% | -50.5% | 0.50 | 0.17 | 11.7x | 66 | 18% |
| ADX / DI 방향성 period=34, threshold=26 |
7.2% | -55.4% | 0.47 | 0.13 | 8.5x | 54 | 19% |
| ROC 모멘텀 n=86, threshold=-0.03 |
9.3% | -81.5% | 0.44 | 0.11 | 15.0x | 313 | 65% |
| EMA 크로스오버 fast=61, slow=80 |
8.7% | -78.1% | 0.43 | 0.11 | 13.0x | 64 | 57% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.4% | -73.2% | 0.39 | 0.10 | 8.9x | 198 | 52% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=11, mult=2.9 |
6.6% | -65.0% | 0.39 | 0.10 | 7.0x | 112 | 23% |
| MACD fast=18, slow=26, signal=13 |
6.9% | -77.4% | 0.38 | 0.09 | 7.7x | 407 | 49% |
| Buy and hold | 14.2% | -74.6% | 0.54 | 0.19 | 58.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)