Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Steel Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Steel Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -96.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -96.0%, Sharpe 0.65, 94% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=2, exitN=137 |
14.3% | -96.0% | 0.65 | 0.15 | 59.1x | 107 | 94% |
| SMA 크로스오버 fast=46, slow=172 |
8.3% | -94.3% | 0.57 | 0.09 | 11.5x | 54 | 54% |
| Supertrend period=2, mult=3.3 |
-10.4% | -99.9% | 0.56 | -0.10 | 0.0x | 228 | 53% |
| EMA 크로스오버 fast=55, slow=97 |
-27.2% | -100.0% | 0.49 | -0.27 | 0.0x | 70 | 55% |
| ROC 모멘텀 n=148, threshold=0.02 |
-29.0% | -100.0% | 0.46 | -0.29 | 0.0x | 183 | 52% |
| MACD fast=7, slow=24, signal=11 |
-34.2% | -100.0% | 0.45 | -0.34 | 0.0x | 679 | 51% |
| 볼린저 밴드 돌파 n=11, k=1.4 |
-48.7% | -100.0% | 0.32 | -0.49 | 0.0x | 644 | 38% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-52.6% | -100.0% | 0.27 | -0.53 | 0.0x | 697 | 49% |
| ADX / DI 방향성 period=39, threshold=12 |
-14.1% | -99.9% | 0.22 | -0.14 | 0.0x | 218 | 34% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=21, mult=1.1 |
-57.7% | -100.0% | 0.10 | -0.58 | 0.0x | 242 | 42% |
| Buy and hold | 9.7% | -96.9% | 0.64 | 0.10 | 16.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 2 days
- Sell — Sell when price breaks below the lowest low of the last 137 days