Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Vedanta Limited backtest
10 trend-following strategies were compared on the full daily history of Vedanta Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.8%, MDD -72.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.0%, drawdown -91.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.8%, MDD -78.2%, Sharpe 0.57, 47% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 13.2%p (CAGR 17.8%, MDD -72.7%, exposure 47%).
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=24, slow=199 |
18.8% | -78.2% | 0.57 | 0.24 | 192.5x | 38 | 47% |
| EMA 크로스오버 fast=32, slow=116 |
17.8% | -72.7% | 0.57 | 0.24 | 149.2x | 50 | 47% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=8, mult=1.1 |
10.9% | -77.8% | 0.50 | 0.14 | 23.8x | 140 | 43% |
| ROC 모멘텀 n=39, threshold=0.05 |
11.2% | -75.3% | 0.49 | 0.15 | 25.9x | 426 | 41% |
| Donchian 채널 돌파 entryN=74, exitN=71 |
12.4% | -75.6% | 0.48 | 0.16 | 36.0x | 46 | 49% |
| Supertrend period=22, mult=2.4 |
9.1% | -86.3% | 0.44 | 0.11 | 14.3x | 272 | 49% |
| ADX / DI 방향성 period=20, threshold=20 |
8.4% | -81.5% | 0.44 | 0.10 | 11.7x | 198 | 24% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
7.4% | -75.4% | 0.42 | 0.10 | 8.9x | 132 | 34% |
| Parabolic SAR step=0.015, maxStep=0.1 |
3.1% | -85.2% | 0.29 | 0.04 | 2.5x | 488 | 50% |
| MACD fast=8, slow=27, signal=15 |
-0.9% | -95.3% | 0.21 | -0.01 | 0.8x | 533 | 53% |
| Buy and hold | 11.0% | -91.4% | 0.47 | 0.12 | 24.1x | 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 24-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 24-day average falls below the 199-day average