Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Avanti Feeds Limited backtest
10 trend-following strategies were compared on the full daily history of Avanti Feeds Limited. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 49.3%, MDD -34.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 46.4%, drawdown -72.9%).
Sharpe leader (same as main): MACD — CAGR 49.3%, MDD -34.8%, Sharpe 1.28, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 51.6%, MDD -49.3%, exposure 58%.
Return/drawdown alternative: MACD — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 49.3%, MDD -34.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=67, slow=74, signal=32 |
49.3% | -34.8% | 1.28 | 1.42 | 766.3x | 58 | 53% |
| Donchian 채널 돌파 entryN=28, exitN=29 |
51.6% | -49.3% | 1.28 | 1.05 | 986.2x | 46 | 58% |
| 볼린저 밴드 돌파 n=68, k=1.7 |
45.0% | -52.8% | 1.24 | 0.85 | 471.2x | 52 | 46% |
| SMA 크로스오버 fast=21, slow=60 |
47.7% | -46.8% | 1.22 | 1.02 | 639.3x | 60 | 57% |
| EMA 크로스오버 fast=29, slow=38 |
46.2% | -44.0% | 1.19 | 1.05 | 539.2x | 48 | 58% |
| ROC 모멘텀 n=54, threshold=0.14 |
37.0% | -55.5% | 1.12 | 0.67 | 183.8x | 170 | 37% |
| Supertrend period=11, mult=4.9 |
43.4% | -59.7% | 1.11 | 0.73 | 391.1x | 40 | 65% |
| ADX / DI 방향성 period=35, threshold=18 |
36.1% | -50.0% | 1.10 | 0.72 | 165.6x | 58 | 41% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=1.4 |
36.8% | -61.8% | 1.07 | 0.60 | 179.7x | 92 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
28.6% | -67.7% | 0.88 | 0.42 | 64.4x | 117 | 54% |
| Buy and hold | 46.4% | -72.9% | 1.03 | 0.64 | 548.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (67/74) crosses above its 32-day signal line
- Sell — Sell when the MACD line crosses back below the signal line