Trend-Following Backtester · Guide · backtest 한국어
equity · IN
V-Guard Industries Limited backtest
10 trend-following strategies were compared on the full daily history of V-Guard Industries Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.9%, MDD -27.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.7%, drawdown -47.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.9%, MDD -27.7%, Sharpe 1.00, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 23.9%, MDD -27.7%, exposure 57%).
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=78, slow=104 |
23.9% | -27.7% | 1.00 | 0.86 | 51.1x | 48 | 57% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
18.6% | -28.0% | 0.94 | 0.66 | 23.0x | 40 | 29% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=2.1 |
19.8% | -37.9% | 0.94 | 0.52 | 27.5x | 64 | 34% |
| ROC 모멘텀 n=104, threshold=-0.03 |
23.5% | -49.2% | 0.93 | 0.48 | 48.7x | 141 | 66% |
| Supertrend period=17, mult=4.4 |
22.4% | -44.6% | 0.93 | 0.50 | 40.8x | 40 | 60% |
| Donchian 채널 돌파 entryN=52, exitN=78 |
23.0% | -37.9% | 0.91 | 0.61 | 45.0x | 20 | 68% |
| EMA 크로스오버 fast=36, slow=168 |
23.0% | -37.2% | 0.91 | 0.62 | 44.9x | 24 | 66% |
| ADX / DI 방향성 period=30, threshold=18 |
15.8% | -34.0% | 0.82 | 0.47 | 14.8x | 80 | 33% |
| MACD fast=14, slow=49, signal=16 |
13.7% | -49.0% | 0.68 | 0.28 | 10.6x | 209 | 49% |
| Parabolic SAR step=0.015, maxStep=0.24 |
10.1% | -62.5% | 0.52 | 0.16 | 5.9x | 295 | 52% |
| Buy and hold | 24.7% | -47.6% | 0.86 | 0.52 | 57.7x | 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 78-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 78-day average falls below the 104-day average