Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Tube Investments of India Limited backtest
10 trend-following strategies were compared on the full daily history of Tube Investments of India Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 28.1%, MDD -33.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 30.4%, drawdown -54.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.3%, MDD -43.0%, Sharpe 0.99, 83% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 11.5%p (CAGR 28.1%, MDD -33.8%, exposure 70%).
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=8, exitN=35 |
32.3% | -43.0% | 0.99 | 0.75 | 11.8x | 29 | 83% |
| EMA 크로스오버 fast=6, slow=192 |
28.1% | -33.8% | 0.95 | 0.83 | 8.9x | 16 | 70% |
| ADX / DI 방향성 period=36, threshold=4 |
26.2% | -40.0% | 0.91 | 0.65 | 7.8x | 75 | 69% |
| SMA 크로스오버 fast=4, slow=95 |
24.7% | -34.8% | 0.89 | 0.71 | 7.0x | 42 | 65% |
| Supertrend period=25, mult=4.1 |
24.2% | -32.8% | 0.86 | 0.74 | 6.8x | 26 | 72% |
| ROC 모멘텀 n=90, threshold=-0.03 |
23.4% | -31.6% | 0.85 | 0.74 | 6.4x | 60 | 69% |
| MACD fast=5, slow=57, signal=19 |
13.0% | -49.9% | 0.58 | 0.26 | 2.9x | 149 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=1.2 |
12.5% | -44.9% | 0.57 | 0.28 | 2.8x | 66 | 54% |
| 볼린저 밴드 돌파 n=14, k=3 |
5.1% | -20.1% | 0.55 | 0.25 | 1.5x | 10 | 5% |
| Parabolic SAR step=0.015, maxStep=0.28 |
1.2% | -54.1% | 0.18 | 0.02 | 1.1x | 157 | 53% |
| Buy and hold | 30.4% | -54.5% | 0.89 | 0.56 | 10.4x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 35 days