Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Power Company Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Power Company Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -55.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.1%, drawdown -82.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -55.9%, Sharpe 0.56, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 12.4%, MDD -55.9%, exposure 50%).
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=65, slow=319 |
12.4% | -55.9% | 0.56 | 0.22 | 35.5x | 23 | 50% |
| Donchian 채널 돌파 entryN=132, exitN=58 |
9.1% | -64.9% | 0.48 | 0.14 | 14.2x | 32 | 34% |
| MACD fast=17, slow=54, signal=14 |
9.4% | -73.1% | 0.46 | 0.13 | 15.4x | 339 | 52% |
| 볼린저 밴드 돌파 n=26, k=0.6 |
7.2% | -71.5% | 0.39 | 0.10 | 8.4x | 446 | 47% |
| EMA 크로스오버 fast=31, slow=69 |
7.4% | -72.3% | 0.39 | 0.10 | 8.8x | 100 | 54% |
| Supertrend period=8, mult=2 |
7.1% | -81.3% | 0.39 | 0.09 | 8.1x | 336 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=16, mult=2.9 |
6.2% | -65.6% | 0.39 | 0.10 | 6.4x | 94 | 26% |
| ROC 모멘텀 n=88, threshold=0.14 |
5.4% | -70.2% | 0.34 | 0.08 | 5.0x | 254 | 29% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.8% | -70.2% | 0.31 | 0.07 | 4.2x | 254 | 51% |
| ADX / DI 방향성 period=36, threshold=14 |
3.9% | -68.5% | 0.28 | 0.06 | 3.2x | 172 | 28% |
| Buy and hold | 12.1% | -82.6% | 0.49 | 0.15 | 32.6x | 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 65-day average price crosses above the 319-day average
- Sell — Sell (to cash) when the 65-day average falls below the 319-day average