Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ambuja Cements Limited backtest
10 trend-following strategies were compared on the full daily history of Ambuja Cements Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -86.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.9%, MDD -87.9%, Sharpe 0.32, 58% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.0%, MDD -87.1%, exposure 59%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, slow=47 |
1.9% | -87.9% | 0.32 | 0.02 | 1.6x | 98 | 58% |
| Donchian 채널 돌파 entryN=10, exitN=60 |
1.9% | -87.0% | 0.32 | 0.02 | 1.6x | 77 | 83% |
| ADX / DI 방향성 period=25, threshold=31 |
1.6% | -17.0% | 0.30 | 0.10 | 1.5x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=3.8 |
1.7% | -15.3% | 0.28 | 0.11 | 1.5x | 12 | 3% |
| SMA 크로스오버 fast=7, slow=89 |
11.0% | -87.1% | 0.27 | 0.13 | 12.2x | 110 | 59% |
| 볼린저 밴드 돌파 n=69, k=3.5 |
2.1% | -30.5% | 0.25 | 0.07 | 1.7x | 14 | 8% |
| ROC 모멘텀 n=72, threshold=-0.03 |
-0.8% | -91.0% | 0.23 | -0.01 | 0.8x | 256 | 65% |
| Supertrend period=23, mult=5 |
-1.7% | -89.2% | 0.20 | -0.02 | 0.7x | 56 | 58% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.1% | -88.3% | 0.11 | -0.05 | 0.4x | 217 | 52% |
| MACD fast=17, slow=51, signal=11 |
-7.8% | -89.0% | -0.03 | -0.09 | 0.1x | 333 | 51% |
| Buy and hold | 12.0% | -86.9% | 0.29 | 0.14 | 15.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 47-day EMA
- Sell — Sell when the 18-day EMA falls below the 47-day EMA