Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Ashoka India Equity Investment Trust Plc backtest
10 trend-following strategies were compared on the full daily history of Ashoka India Equity Investment Trust Plc. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.5%, MDD -19.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.1%, drawdown -41.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.5%, MDD -19.5%, Sharpe 0.80, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.9%, MDD -29.7%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 11.5%, MDD -19.5%, exposure 64%).
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=14, slow=60 |
11.5% | -19.5% | 0.80 | 0.59 | 2.4x | 26 | 64% |
| ROC 모멘텀 Hold-like · Exposure 98% n=12, threshold=-0.11 |
14.9% | -29.7% | 0.77 | 0.50 | 3.1x | 15 | 98% |
| ADX / DI 방향성 period=46, threshold=14 |
6.7% | -15.4% | 0.74 | 0.44 | 1.7x | 24 | 24% |
| Donchian 채널 돌파 entryN=48, exitN=101 |
11.0% | -25.6% | 0.73 | 0.43 | 2.4x | 11 | 73% |
| SMA 크로스오버 fast=8, slow=106 |
10.4% | -25.9% | 0.73 | 0.40 | 2.3x | 25 | 65% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
2.9% | -6.2% | 0.64 | 0.46 | 1.3x | 4 | 9% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=18, mult=3.5 |
2.2% | -6.9% | 0.59 | 0.32 | 1.2x | 4 | 6% |
| Supertrend period=33, mult=4.6 |
7.7% | -28.0% | 0.54 | 0.27 | 1.8x | 19 | 68% |
| MACD fast=19, slow=27, signal=27 |
6.7% | -24.8% | 0.53 | 0.27 | 1.7x | 76 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
3.0% | -41.7% | 0.27 | 0.07 | 1.3x | 79 | 66% |
| Buy and hold | 11.1% | -41.4% | 0.55 | 0.27 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 60-day EMA
- Sell — Sell when the 14-day EMA falls below the 60-day EMA