Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bajaj Consumer Care Limited backtest
10 trend-following strategies were compared on the full daily history of Bajaj Consumer Care Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.3%, MDD -34.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.0%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.2%, MDD -42.2%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 15.3%, MDD -34.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=124 |
16.2% | -42.2% | 0.73 | 0.38 | 11.0x | 23 | 53% |
| Donchian 채널 돌파 entryN=87, exitN=40 |
14.8% | -43.2% | 0.71 | 0.34 | 9.1x | 20 | 42% |
| EMA 크로스오버 fast=43, slow=48 |
16.0% | -43.5% | 0.71 | 0.37 | 10.6x | 37 | 53% |
| ADX / DI 방향성 period=43, threshold=14 |
14.5% | -38.5% | 0.70 | 0.38 | 8.7x | 77 | 42% |
| ROC 모멘텀 n=99, threshold=0.05 |
14.6% | -42.8% | 0.69 | 0.34 | 8.8x | 119 | 45% |
| Supertrend period=16, mult=4.8 |
15.3% | -34.9% | 0.69 | 0.44 | 9.6x | 28 | 53% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
7.8% | -34.4% | 0.52 | 0.23 | 3.3x | 28 | 22% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=2.2 |
8.2% | -35.0% | 0.49 | 0.23 | 3.5x | 52 | 32% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.4% | -58.8% | 0.26 | 0.06 | 1.7x | 184 | 51% |
| MACD fast=10, slow=28, signal=15 |
-3.7% | -70.6% | -0.04 | -0.05 | 0.5x | 258 | 50% |
| Buy and hold | 8.0% | -76.7% | 0.40 | 0.10 | 3.4x | 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 52-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 52-day average falls below the 124-day average