Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Action Construction Equipment Limited backtest
10 trend-following strategies were compared on the full daily history of Action Construction Equipment Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 32.9%, MDD -48.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.2%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.9%, MDD -48.9%, Sharpe 0.93, 53% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 33.2%, MDD -54.1%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 32.9%, MDD -48.9%, exposure 53%).
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=241 |
32.9% | -48.9% | 0.93 | 0.67 | 284.1x | 15 | 53% |
| EMA 크로스오버 fast=74, slow=121 |
33.2% | -54.1% | 0.93 | 0.61 | 293.6x | 15 | 55% |
| Donchian 채널 돌파 entryN=51, exitN=63 |
30.3% | -54.7% | 0.86 | 0.55 | 192.4x | 25 | 58% |
| ROC 모멘텀 n=116, threshold=0.04 |
26.3% | -60.2% | 0.80 | 0.44 | 103.5x | 113 | 50% |
| Supertrend period=22, mult=4.7 |
19.7% | -73.0% | 0.65 | 0.27 | 35.3x | 49 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=0.9 |
15.4% | -66.7% | 0.57 | 0.23 | 17.1x | 149 | 49% |
| ADX / DI 방향성 period=29, threshold=13 |
15.3% | -66.8% | 0.56 | 0.23 | 16.9x | 171 | 53% |
| Parabolic SAR step=0.045, maxStep=0.38 |
13.1% | -76.3% | 0.51 | 0.17 | 11.5x | 663 | 49% |
| 볼린저 밴드 돌파 n=28, k=1.7 |
11.4% | -67.2% | 0.49 | 0.17 | 8.5x | 169 | 37% |
| MACD fast=12, slow=27, signal=6 |
9.8% | -64.5% | 0.43 | 0.15 | 6.4x | 441 | 48% |
| Buy and hold | 18.2% | -93.6% | 0.58 | 0.19 | 27.5x | 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 40-day average price crosses above the 241-day average
- Sell — Sell (to cash) when the 40-day average falls below the 241-day average