Trend-Following Backtester · Guide · backtest 한국어
equity · IN
VA Tech Wabag Limited backtest
10 trend-following strategies were compared on the full daily history of VA Tech Wabag Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.9%, MDD -42.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.7%, drawdown -92.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.3%, MDD -44.9%, Sharpe 0.87, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 23.7%, MDD -52.6%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 11.9%, MDD -42.4%, exposure 23%).
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=40, slow=160 |
23.3% | -44.9% | 0.87 | 0.52 | 27.9x | 17 | 51% |
| EMA 크로스오버 fast=24, slow=97 |
23.7% | -52.6% | 0.87 | 0.45 | 29.3x | 27 | 52% |
| Donchian 채널 돌파 entryN=97, exitN=76 |
21.9% | -44.9% | 0.84 | 0.49 | 23.2x | 15 | 44% |
| ROC 모멘텀 n=106, threshold=-0.01 |
21.1% | -57.0% | 0.79 | 0.37 | 20.9x | 91 | 53% |
| Supertrend period=5, mult=4.7 |
22.6% | -68.2% | 0.79 | 0.33 | 25.4x | 31 | 62% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
14.9% | -45.8% | 0.64 | 0.32 | 9.0x | 78 | 41% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=3.7 |
11.9% | -42.4% | 0.62 | 0.28 | 6.0x | 25 | 23% |
| ADX / DI 방향성 period=37, threshold=10 |
12.5% | -68.0% | 0.54 | 0.18 | 6.5x | 137 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
8.4% | -56.0% | 0.42 | 0.15 | 3.6x | 117 | 50% |
| MACD fast=14, slow=24, signal=18 |
7.0% | -50.8% | 0.38 | 0.14 | 2.9x | 211 | 50% |
| Buy and hold | 11.7% | -92.1% | 0.48 | 0.13 | 5.8x | 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 40-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 40-day average falls below the 160-day average