Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Arvind Limited backtest
10 trend-following strategies were compared on the full daily history of Arvind Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.4%, MDD -51.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.9%, drawdown -92.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.9%, MDD -52.8%, Sharpe 0.86, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 24.4%, MDD -51.6%, exposure 55%).
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=54, slow=130 |
27.9% | -52.8% | 0.86 | 0.53 | 381.2x | 41 | 56% |
| Donchian 채널 돌파 entryN=81, exitN=77 |
24.4% | -51.6% | 0.79 | 0.47 | 194.3x | 27 | 55% |
| EMA 크로스오버 fast=45, slow=86 |
23.9% | -53.7% | 0.77 | 0.44 | 176.0x | 49 | 56% |
| ROC 모멘텀 n=123, threshold=0.03 |
22.1% | -62.1% | 0.74 | 0.36 | 123.9x | 181 | 53% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
14.9% | -63.5% | 0.59 | 0.23 | 28.6x | 288 | 44% |
| MACD fast=13, slow=51, signal=17 |
15.4% | -85.7% | 0.59 | 0.18 | 32.0x | 290 | 52% |
| Supertrend period=12, mult=2.9 |
15.2% | -68.6% | 0.59 | 0.22 | 30.5x | 151 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=1.4 |
14.5% | -58.5% | 0.58 | 0.25 | 26.4x | 146 | 46% |
| ADX / DI 방향성 period=8, threshold=38 |
10.7% | -54.6% | 0.56 | 0.20 | 11.7x | 208 | 19% |
| Parabolic SAR step=0.01, maxStep=0.16 |
9.4% | -70.1% | 0.43 | 0.13 | 8.7x | 330 | 53% |
| Buy and hold | 18.9% | -92.2% | 0.60 | 0.20 | 65.1x | 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 54-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 54-day average falls below the 130-day average