Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Viyash Scientific Limited backtest
10 trend-following strategies were compared on the full daily history of Viyash Scientific Limited. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.7%, MDD -40.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.3%, drawdown -80.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.1%, MDD -47.1%, Sharpe 0.65, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 9.7%, MDD -40.4%, exposure 34%).
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=47, slow=208 |
18.1% | -47.1% | 0.65 | 0.38 | 5.7x | 13 | 51% |
| SMA 크로스오버 fast=57, slow=218 |
15.1% | -48.5% | 0.58 | 0.31 | 4.4x | 11 | 53% |
| Donchian 채널 돌파 entryN=58, exitN=84 |
13.7% | -44.9% | 0.55 | 0.31 | 3.8x | 11 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=1.8 |
9.7% | -40.4% | 0.47 | 0.24 | 2.6x | 42 | 34% |
| 볼린저 밴드 돌파 n=38, k=1.7 |
9.6% | -48.4% | 0.46 | 0.20 | 2.6x | 52 | 32% |
| ROC 모멘텀 n=72, threshold=0.01 |
9.7% | -65.3% | 0.45 | 0.15 | 2.6x | 99 | 47% |
| ADX / DI 방향성 period=22, threshold=32 |
2.4% | -21.4% | 0.24 | 0.11 | 1.3x | 18 | 7% |
| Supertrend period=11, mult=4.9 |
1.9% | -80.9% | 0.23 | 0.02 | 1.2x | 25 | 55% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.6% | -81.3% | 0.09 | -0.03 | 0.8x | 81 | 50% |
| MACD fast=16, slow=22, signal=19 |
-5.5% | -79.3% | 0.00 | -0.07 | 0.6x | 145 | 49% |
| Buy and hold | 5.3% | -80.8% | 0.35 | 0.07 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 208-day EMA
- Sell — Sell when the 47-day EMA falls below the 208-day EMA