Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tech Mahindra Limited backtest
10 trend-following strategies were compared on the full daily history of Tech Mahindra Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.9%, MDD -35.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.2%, drawdown -89.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.1%, MDD -45.4%, Sharpe 0.75, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.6%, MDD -58.3%, exposure 85%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 13.9%, MDD -35.0%, exposure 40%).
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=13, slow=30 |
18.1% | -45.4% | 0.75 | 0.40 | 27.4x | 155 | 58% |
| Donchian 채널 돌파 entryN=114, exitN=47 |
13.9% | -35.0% | 0.74 | 0.40 | 13.3x | 23 | 40% |
| ROC 모멘텀 n=25, threshold=-0.09 |
18.6% | -58.3% | 0.71 | 0.32 | 30.0x | 183 | 85% |
| ADX / DI 방향성 period=28, threshold=22 |
12.1% | -35.9% | 0.69 | 0.34 | 9.8x | 56 | 21% |
| EMA 크로스오버 fast=13, slow=32 |
15.8% | -61.6% | 0.69 | 0.26 | 18.6x | 137 | 59% |
| Supertrend period=17, mult=4.5 |
15.6% | -50.4% | 0.69 | 0.31 | 18.1x | 61 | 59% |
| 볼린저 밴드 돌파 n=49, k=0.9 |
13.9% | -50.0% | 0.65 | 0.28 | 13.3x | 133 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.8% | -53.1% | 0.59 | 0.24 | 11.0x | 165 | 56% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=3.8 |
9.5% | -41.2% | 0.57 | 0.23 | 6.1x | 43 | 24% |
| MACD fast=32, slow=52, signal=27 |
11.4% | -48.8% | 0.56 | 0.23 | 8.6x | 133 | 50% |
| Buy and hold | 13.2% | -89.4% | 0.53 | 0.15 | 11.9x | 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 13-day average price crosses above the 30-day average
- Sell — Sell (to cash) when the 13-day average falls below the 30-day average