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. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.1%, MDD -22.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.6%, drawdown -41.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.1%, MDD -22.0%, Sharpe 0.83, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 12.1%, MDD -22.0%, 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=66 |
12.1% | -22.0% | 0.83 | 0.55 | 2.5x | 23 | 64% |
| SMA 크로스오버 fast=7, slow=112 |
11.0% | -26.8% | 0.77 | 0.41 | 2.3x | 27 | 64% |
| ROC 모멘텀 n=97, threshold=0.06 |
7.6% | -21.3% | 0.64 | 0.36 | 1.8x | 57 | 48% |
| Donchian 채널 돌파 entryN=39, exitN=72 |
9.2% | -35.1% | 0.62 | 0.26 | 2.0x | 15 | 75% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
2.7% | -7.6% | 0.61 | 0.36 | 1.2x | 4 | 9% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=17, mult=3.8 |
1.9% | -4.4% | 0.58 | 0.42 | 1.2x | 2 | 4% |
| MACD fast=23, slow=32, signal=19 |
7.2% | -24.5% | 0.56 | 0.29 | 1.8x | 74 | 50% |
| Supertrend period=26, mult=3.6 |
7.7% | -26.5% | 0.55 | 0.29 | 1.8x | 29 | 70% |
| ADX / DI 방향성 period=38, threshold=25 |
1.6% | -8.3% | 0.37 | 0.19 | 1.1x | 4 | 7% |
| Parabolic SAR step=0.015, maxStep=0.28 |
1.6% | -40.2% | 0.18 | 0.04 | 1.1x | 152 | 60% |
| Buy and hold | 11.6% | -41.4% | 0.57 | 0.28 | 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 66-day EMA
- Sell — Sell when the 14-day EMA falls below the 66-day EMA