Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Voltas Limited backtest
10 trend-following strategies were compared on the full daily history of Voltas Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 38.5%, MDD -45.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 37.8%, drawdown -87.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.7%, MDD -54.4%, Sharpe 0.90, 63% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 41.5%, MDD -57.2%, exposure 61%.
Return/drawdown alternative: Supertrend — CAGR is 11.1%p lower than buy and hold, while drawdown improves by 33.2%p (CAGR 38.5%, MDD -45.3%, 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=54, slow=101 |
26.7% | -54.4% | 0.90 | 0.49 | 299.9x | 56 | 63% |
| Donchian 채널 돌파 entryN=71, exitN=59 |
25.5% | -52.5% | 0.88 | 0.49 | 235.8x | 32 | 62% |
| ROC 모멘텀 n=98, threshold=0.11 |
20.1% | -55.5% | 0.78 | 0.36 | 81.8x | 202 | 47% |
| ADX / DI 방향성 period=38, threshold=19 |
14.3% | -38.5% | 0.72 | 0.37 | 24.8x | 62 | 24% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=3.9 |
15.0% | -48.2% | 0.71 | 0.31 | 29.2x | 52 | 30% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
10.7% | -45.3% | 0.62 | 0.24 | 11.7x | 44 | 22% |
| EMA 크로스오버 fast=18, slow=49 |
41.5% | -57.2% | 0.36 | 0.73 | 4279.7x | 97 | 61% |
| Parabolic SAR step=0.02, maxStep=0.02 |
39.3% | -55.0% | 0.35 | 0.72 | 2948.4x | 137 | 59% |
| Supertrend period=14, mult=3 |
38.5% | -45.3% | 0.35 | 0.85 | 2536.5x | 117 | 57% |
| MACD fast=31, slow=51, signal=15 |
23.7% | -71.2% | 0.29 | 0.33 | 169.2x | 221 | 51% |
| Buy and hold | 37.8% | -87.6% | 0.36 | 0.43 | 2252.5x | 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 54-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 54-day average falls below the 101-day average