Trend-Following Backtester · Guide · backtest 한국어
equity · IN
TVS Motor Company Limited backtest
10 trend-following strategies were compared on the full daily history of TVS Motor Company Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 32.5%, MDD -56.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 25.1%, drawdown -91.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.2%, MDD -61.4%, Sharpe 1.07, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 32.5%, MDD -56.7%, exposure 59%).
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=7, slow=118 |
33.2% | -61.4% | 1.07 | 0.54 | 1753.9x | 73 | 59% |
| EMA 크로스오버 fast=4, slow=99 |
32.5% | -56.7% | 1.06 | 0.57 | 1532.4x | 121 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=3.5 |
22.1% | -50.2% | 1.00 | 0.44 | 181.7x | 51 | 34% |
| Donchian 채널 돌파 entryN=83, exitN=42 |
28.5% | -58.9% | 0.99 | 0.48 | 693.7x | 39 | 55% |
| ROC 모멘텀 n=78, threshold=0.07 |
26.5% | -70.3% | 0.96 | 0.38 | 456.9x | 195 | 51% |
| Supertrend period=11, mult=3.1 |
27.1% | -62.9% | 0.92 | 0.43 | 523.3x | 121 | 58% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
23.7% | -55.5% | 0.88 | 0.43 | 255.2x | 235 | 49% |
| ADX / DI 방향성 period=27, threshold=21 |
17.0% | -41.8% | 0.83 | 0.41 | 60.3x | 101 | 28% |
| MACD fast=19, slow=32, signal=18 |
17.9% | -46.7% | 0.69 | 0.38 | 73.6x | 294 | 53% |
| Parabolic SAR step=0.015, maxStep=0.16 |
10.8% | -73.4% | 0.48 | 0.15 | 14.4x | 462 | 56% |
| Buy and hold | 25.1% | -91.5% | 0.74 | 0.27 | 345.5x | 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 7-day average price crosses above the 118-day average
- Sell — Sell (to cash) when the 7-day average falls below the 118-day average