Trend-Following Backtester · Guide · backtest 한국어
equity · IN
UNO Minda Limited backtest
10 trend-following strategies were compared on the full daily history of UNO Minda Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 32.6%, MDD -40.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 31.5%, drawdown -75.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.6%, MDD -40.9%, Sharpe 0.97, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 32.6%, MDD -40.9%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=12, slow=65 |
32.6% | -40.9% | 0.97 | 0.80 | 251.5x | 71 | 61% |
| SMA 크로스오버 fast=8, slow=72 |
30.6% | -40.8% | 0.94 | 0.75 | 186.4x | 77 | 59% |
| Donchian 채널 돌파 entryN=25, exitN=54 |
32.3% | -60.6% | 0.91 | 0.53 | 238.7x | 39 | 72% |
| 볼린저 밴드 돌파 n=39, k=1.4 |
26.8% | -44.7% | 0.91 | 0.60 | 104.8x | 121 | 44% |
| Supertrend period=19, mult=4.9 |
27.9% | -57.8% | 0.85 | 0.48 | 123.4x | 35 | 68% |
| ROC 모멘텀 n=92, threshold=0.01 |
25.4% | -63.3% | 0.81 | 0.40 | 84.4x | 147 | 63% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=21, mult=1.7 |
20.2% | -54.8% | 0.78 | 0.37 | 36.4x | 107 | 36% |
| ADX / DI 방향성 period=18, threshold=19 |
16.9% | -62.1% | 0.66 | 0.27 | 21.2x | 170 | 44% |
| MACD fast=16, slow=58, signal=15 |
16.9% | -56.0% | 0.62 | 0.30 | 21.1x | 215 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
12.5% | -52.9% | 0.51 | 0.24 | 10.0x | 330 | 52% |
| Buy and hold | 31.5% | -75.8% | 0.81 | 0.41 | 211.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 12-day EMA crosses above the 65-day EMA
- Sell — Sell when the 12-day EMA falls below the 65-day EMA