Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Amber Enterprises India Ltd. backtest
10 trend-following strategies were compared on the full daily history of Amber Enterprises India Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.6%, MDD -38.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 23.4%, drawdown -54.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.6%, MDD -38.7%, Sharpe 0.86, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 15.5%p (CAGR 28.6%, MDD -38.7%, exposure 66%).
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=56, slow=189 |
28.6% | -38.7% | 0.86 | 0.74 | 8.7x | 5 | 66% |
| ROC 모멘텀 n=149, threshold=0.01 |
26.3% | -45.3% | 0.84 | 0.58 | 7.4x | 47 | 64% |
| Donchian 채널 돌파 entryN=33, exitN=78 |
26.9% | -45.7% | 0.83 | 0.59 | 7.7x | 7 | 69% |
| EMA 크로스오버 fast=27, slow=272 |
26.7% | -40.4% | 0.82 | 0.66 | 7.6x | 5 | 65% |
| Supertrend period=28, mult=4.5 |
20.5% | -39.0% | 0.75 | 0.53 | 5.0x | 22 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=2.6 |
14.5% | -39.6% | 0.63 | 0.37 | 3.2x | 26 | 36% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
12.2% | -37.1% | 0.59 | 0.33 | 2.7x | 22 | 30% |
| ADX / DI 방향성 period=22, threshold=15 |
14.2% | -49.9% | 0.58 | 0.28 | 3.1x | 72 | 50% |
| MACD fast=15, slow=38, signal=6 |
8.9% | -49.9% | 0.44 | 0.18 | 2.1x | 163 | 49% |
| Parabolic SAR step=0.01, maxStep=0.28 |
7.8% | -53.4% | 0.40 | 0.15 | 1.9x | 113 | 52% |
| Buy and hold | 23.4% | -54.3% | 0.71 | 0.43 | 6.1x | 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 56-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 56-day average falls below the 189-day average