Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bajaj Auto Limited backtest
10 trend-following strategies were compared on the full daily history of Bajaj Auto Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.7%, MDD -49.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.6%, drawdown -81.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.7%, MDD -49.7%, Sharpe 0.93, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 31.8%p (CAGR 19.7%, MDD -49.7%, exposure 62%).
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=18, slow=64 |
19.7% | -49.7% | 0.93 | 0.40 | 77.4x | 95 | 62% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=0.9 |
17.4% | -48.4% | 0.89 | 0.36 | 48.5x | 167 | 55% |
| Donchian 채널 돌파 entryN=81, exitN=58 |
16.6% | -50.3% | 0.83 | 0.33 | 40.7x | 39 | 60% |
| EMA 크로스오버 fast=15, slow=90 |
16.9% | -51.6% | 0.83 | 0.33 | 43.9x | 75 | 64% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
15.0% | -45.9% | 0.82 | 0.33 | 29.4x | 113 | 50% |
| Supertrend period=27, mult=4.3 |
16.3% | -59.3% | 0.80 | 0.27 | 38.5x | 73 | 62% |
| ADX / DI 방향성 period=54, threshold=11 |
12.2% | -58.2% | 0.79 | 0.21 | 16.1x | 97 | 34% |
| ROC 모멘텀 Hold-like · Exposure 96% n=18, threshold=-0.12 |
18.6% | -77.2% | 0.74 | 0.24 | 61.8x | 107 | 96% |
| Parabolic SAR step=0.005, maxStep=0.2 |
10.5% | -54.4% | 0.58 | 0.19 | 11.1x | 219 | 56% |
| MACD fast=10, slow=57, signal=18 |
7.9% | -70.6% | 0.46 | 0.11 | 6.3x | 292 | 53% |
| Buy and hold | 20.6% | -81.5% | 0.77 | 0.25 | 93.4x | 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 18-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 18-day average falls below the 64-day average