Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tejas Networks Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tejas Networks Ltd.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 29.0%, MDD -31.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.5%, drawdown -93.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.0%, MDD -31.7%, Sharpe 0.96, 44% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 30.0%, MDD -66.7%, exposure 45%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 20.5%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 29.0%, MDD -31.7%, exposure 44%).
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=47, slow=141 |
29.0% | -31.7% | 0.96 | 0.92 | 10.4x | 15 | 44% |
| EMA 크로스오버 fast=9, slow=200 |
29.7% | -39.5% | 0.95 | 0.75 | 10.9x | 10 | 46% |
| ROC 모멘텀 n=73, threshold=0.01 |
30.0% | -66.7% | 0.94 | 0.45 | 11.1x | 79 | 45% |
| Donchian 채널 돌파 entryN=91, exitN=36 |
26.5% | -45.9% | 0.94 | 0.58 | 8.7x | 12 | 36% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=4 |
22.4% | -35.9% | 0.92 | 0.63 | 6.4x | 14 | 22% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
26.8% | -44.6% | 0.91 | 0.60 | 8.8x | 28 | 35% |
| Supertrend period=13, mult=3.9 |
20.0% | -59.1% | 0.68 | 0.34 | 5.3x | 34 | 52% |
| ADX / DI 방향성 period=22, threshold=17 |
17.4% | -59.8% | 0.65 | 0.29 | 4.4x | 74 | 38% |
| Parabolic SAR step=0.01, maxStep=0.24 |
10.4% | -71.2% | 0.45 | 0.15 | 2.5x | 107 | 47% |
| MACD fast=7, slow=35, signal=6 |
7.8% | -69.5% | 0.39 | 0.11 | 2.0x | 221 | 47% |
| Buy and hold | 8.5% | -93.4% | 0.42 | 0.09 | 2.1x | 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 47-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 47-day average falls below the 141-day average