Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Asahi India Glass Limited backtest
10 trend-following strategies were compared on the full daily history of Asahi India Glass Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 29.2%, drawdown -79.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -62.1%, Sharpe 0.56, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=87 |
18.2% | -62.1% | 0.56 | 0.29 | 55.8x | 61 | 59% |
| ROC 모멘텀 n=100, threshold=0.08 |
12.6% | -64.1% | 0.55 | 0.20 | 17.5x | 188 | 48% |
| EMA 크로스오버 fast=34, slow=65 |
16.7% | -64.4% | 0.53 | 0.26 | 41.6x | 63 | 59% |
| Supertrend period=11, mult=4.9 |
12.2% | -80.6% | 0.52 | 0.15 | 15.9x | 45 | 62% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=1.3 |
10.0% | -45.8% | 0.49 | 0.22 | 9.9x | 170 | 41% |
| 볼린저 밴드 돌파 n=28, k=1.1 |
8.7% | -57.4% | 0.44 | 0.15 | 7.5x | 262 | 43% |
| ADX / DI 방향성 period=39, threshold=23 |
7.7% | -67.3% | 0.44 | 0.11 | 5.9x | 38 | 25% |
| Donchian 채널 돌파 entryN=103, exitN=30 |
8.3% | -66.2% | 0.44 | 0.13 | 6.8x | 46 | 37% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.9% | -69.8% | 0.23 | 0.03 | 1.6x | 192 | 54% |
| MACD fast=16, slow=22, signal=11 |
9.7% | -79.2% | 0.22 | 0.12 | 9.3x | 404 | 51% |
| Buy and hold | 29.2% | -79.0% | 0.34 | 0.37 | 478.1x | 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 41-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 41-day average falls below the 87-day average