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 28.9%, MDD -32.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 30.6%, drawdown -54.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.0%, MDD -43.0%, Sharpe 1.00, 83% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 11.5%p (CAGR 28.9%, MDD -32.0%, exposure 71%).
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 |
33.0% | -43.0% | 1.00 | 0.77 | 12.1x | 28 | 83% |
| EMA 크로스오버 fast=6, slow=192 |
28.9% | -32.0% | 0.97 | 0.90 | 9.2x | 14 | 71% |
| ADX / DI 방향성 period=36, threshold=4 |
27.4% | -37.3% | 0.94 | 0.74 | 8.3x | 72 | 69% |
| SMA 크로스오버 fast=4, slow=95 |
25.0% | -34.8% | 0.89 | 0.72 | 7.0x | 42 | 66% |
| Supertrend period=25, mult=4.1 |
24.5% | -32.8% | 0.87 | 0.75 | 6.8x | 26 | 72% |
| ROC 모멘텀 n=90, threshold=-0.03 |
23.2% | -31.6% | 0.84 | 0.73 | 6.2x | 59 | 69% |
| MACD fast=5, slow=57, signal=19 |
14.6% | -47.6% | 0.63 | 0.31 | 3.3x | 146 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=1.2 |
12.7% | -44.9% | 0.57 | 0.28 | 2.8x | 66 | 55% |
| 볼린저 밴드 돌파 n=14, k=3 |
5.1% | -20.1% | 0.55 | 0.26 | 1.5x | 10 | 5% |
| Parabolic SAR step=0.015, maxStep=0.28 |
2.3% | -54.1% | 0.22 | 0.04 | 1.2x | 154 | 53% |
| Buy and hold | 30.6% | -54.5% | 0.89 | 0.56 | 10.3x | 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