Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tourism Finance Corporation of India Limited backtest
10 trend-following strategies were compared on the full daily history of Tourism Finance Corporation of India Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 16.7%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.4%, MDD -87.7%, Sharpe 0.48, 54% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=162 |
25.4% | -87.7% | 0.48 | 0.29 | 233.6x | 35 | 54% |
| ROC 모멘텀 n=107, threshold=-0.04 |
8.7% | -93.2% | 0.46 | 0.09 | 7.5x | 211 | 61% |
| EMA 크로스오버 fast=59, slow=64 |
21.9% | -87.7% | 0.45 | 0.25 | 117.8x | 49 | 54% |
| Donchian 채널 돌파 entryN=84, exitN=59 |
19.5% | -87.1% | 0.42 | 0.22 | 72.3x | 29 | 46% |
| Supertrend period=29, mult=1.9 |
6.6% | -92.6% | 0.41 | 0.07 | 4.7x | 257 | 45% |
| MACD fast=18, slow=65, signal=18 |
17.6% | -88.0% | 0.40 | 0.20 | 49.2x | 221 | 51% |
| ADX / DI 방향성 period=9, threshold=19 |
13.0% | -89.2% | 0.36 | 0.15 | 18.9x | 481 | 52% |
| Parabolic SAR step=0.005, maxStep=0.4 |
11.9% | -85.0% | 0.35 | 0.14 | 14.9x | 185 | 51% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
11.0% | -89.1% | 0.34 | 0.12 | 12.5x | 187 | 42% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=9, mult=1.2 |
7.7% | -92.5% | 0.30 | 0.08 | 5.9x | 199 | 40% |
| Buy and hold | 16.7% | -91.7% | 0.43 | 0.18 | 40.9x | 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 28-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 28-day average falls below the 162-day average