Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tata Consultancy Services Limited backtest
10 trend-following strategies were compared on the full daily history of Tata Consultancy Services Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 17.4%, MDD -51.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.6%, drawdown -66.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.4%, MDD -36.7%, Sharpe 0.73, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 17.4%, MDD -51.3%, exposure 75%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 29.7%p (CAGR 17.4%, MDD -51.3%, exposure 75%).
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=59, slow=177 |
14.4% | -36.7% | 0.73 | 0.39 | 25.3x | 30 | 65% |
| EMA 크로스오버 fast=34, slow=208 |
15.2% | -51.3% | 0.59 | 0.30 | 29.5x | 20 | 69% |
| ROC 모멘텀 n=168, threshold=-0.06 |
17.4% | -51.3% | 0.47 | 0.34 | 46.9x | 108 | 75% |
| Donchian 채널 돌파 entryN=47, exitN=67 |
16.7% | -59.1% | 0.46 | 0.28 | 40.2x | 34 | 71% |
| ADX / DI 방향성 period=32, threshold=18 |
4.6% | -55.9% | 0.37 | 0.08 | 3.0x | 66 | 21% |
| Supertrend period=8, mult=4.7 |
7.4% | -57.3% | 0.37 | 0.13 | 5.6x | 67 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=3.4 |
3.8% | -63.2% | 0.31 | 0.06 | 2.5x | 60 | 28% |
| 볼린저 밴드 돌파 n=50, k=1.2 |
4.1% | -61.5% | 0.31 | 0.07 | 2.6x | 135 | 44% |
| MACD fast=12, slow=25, signal=22 |
-0.6% | -84.8% | 0.13 | -0.01 | 0.9x | 327 | 53% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-3.7% | -88.9% | 0.02 | -0.04 | 0.4x | 411 | 52% |
| Buy and hold | 18.6% | -66.4% | 0.49 | 0.28 | 59.3x | 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 59-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 59-day average falls below the 177-day average