Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Time Technoplast Limited backtest
10 trend-following strategies were compared on the full daily history of Time Technoplast Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.0%, MDD -41.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.7%, drawdown -89.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.4%, MDD -55.7%, Sharpe 0.62, 55% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 16.4%, MDD -52.2%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 15.0%, MDD -41.0%, 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=29, slow=93 |
16.4% | -55.7% | 0.62 | 0.29 | 18.2x | 51 | 55% |
| Donchian 채널 돌파 entryN=74, exitN=45 |
15.0% | -41.0% | 0.62 | 0.37 | 14.5x | 27 | 44% |
| EMA 크로스오버 fast=50, slow=51 |
16.4% | -52.2% | 0.62 | 0.31 | 18.3x | 51 | 56% |
| ROC 모멘텀 n=114, threshold=0.06 |
15.3% | -50.3% | 0.61 | 0.30 | 15.3x | 120 | 48% |
| Supertrend period=11, mult=5 |
11.6% | -76.4% | 0.49 | 0.15 | 8.1x | 37 | 64% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=3.8 |
3.1% | -13.9% | 0.45 | 0.22 | 1.8x | 4 | 2% |
| 볼린저 밴드 돌파 n=58, k=3 |
5.1% | -62.5% | 0.33 | 0.08 | 2.6x | 35 | 19% |
| ADX / DI 방향성 period=28, threshold=16 |
5.3% | -59.3% | 0.32 | 0.09 | 2.7x | 128 | 41% |
| Parabolic SAR step=0.025, maxStep=0.22 |
4.7% | -63.5% | 0.30 | 0.07 | 2.4x | 463 | 50% |
| MACD fast=10, slow=31, signal=18 |
1.0% | -64.5% | 0.19 | 0.02 | 1.2x | 307 | 48% |
| Buy and hold | 12.7% | -89.4% | 0.49 | 0.14 | 9.9x | 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 29-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 29-day average falls below the 93-day average