Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Ashok Leyland Limited backtest
10 trend-following strategies were compared on the full daily history of Ashok Leyland Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.6%, MDD -53.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.3%, drawdown -79.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.6%, MDD -53.5%, Sharpe 0.70, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 21.6%, MDD -53.5%, exposure 59%).
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=10, slow=125 |
21.6% | -53.5% | 0.70 | 0.40 | 113.2x | 67 | 59% |
| EMA 크로스오버 fast=20, slow=84 |
19.1% | -59.8% | 0.64 | 0.32 | 67.7x | 77 | 59% |
| ADX / DI 방향성 period=33, threshold=21 |
8.9% | -34.3% | 0.61 | 0.26 | 7.8x | 42 | 12% |
| Donchian 채널 돌파 entryN=14, exitN=77 |
18.3% | -71.1% | 0.60 | 0.26 | 58.3x | 51 | 85% |
| ROC 모멘텀 n=90, threshold=0 |
16.9% | -60.4% | 0.59 | 0.28 | 43.7x | 251 | 59% |
| 볼린저 밴드 돌파 n=75, k=1.9 |
15.8% | -70.9% | 0.58 | 0.22 | 34.3x | 77 | 42% |
| MACD fast=31, slow=79, signal=22 |
15.2% | -53.4% | 0.56 | 0.29 | 30.8x | 165 | 53% |
| Keltner 채널 돌파 emaPeriod=82, atrPeriod=18, mult=1.8 |
14.4% | -64.6% | 0.55 | 0.22 | 25.8x | 97 | 46% |
| Supertrend period=8, mult=4.8 |
13.4% | -74.6% | 0.51 | 0.18 | 20.9x | 71 | 56% |
| Parabolic SAR step=0.015, maxStep=0.26 |
4.0% | -65.1% | 0.28 | 0.06 | 2.6x | 420 | 53% |
| Buy and hold | 18.3% | -79.2% | 0.59 | 0.23 | 58.5x | 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 10-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 10-day average falls below the 125-day average