Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Balaji Amines Limited backtest
10 trend-following strategies were compared on the full daily history of Balaji Amines Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.3%, MDD -62.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 25.0%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.8%, MDD -67.3%, Sharpe 0.81, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 13.0%p (CAGR 19.3%, MDD -62.8%, exposure 42%).
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=56, slow=203 |
26.8% | -67.3% | 0.81 | 0.40 | 97.7x | 23 | 56% |
| Donchian 채널 돌파 entryN=20, exitN=31 |
26.7% | -73.8% | 0.77 | 0.36 | 96.3x | 59 | 65% |
| EMA 크로스오버 fast=7, slow=208 |
23.9% | -72.5% | 0.75 | 0.33 | 62.7x | 49 | 55% |
| Supertrend period=24, mult=3.3 |
22.7% | -65.1% | 0.75 | 0.35 | 51.8x | 77 | 45% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=1.4 |
19.3% | -62.8% | 0.68 | 0.31 | 30.1x | 99 | 42% |
| ROC 모멘텀 n=80, threshold=0.01 |
18.4% | -69.7% | 0.63 | 0.26 | 26.0x | 243 | 52% |
| ADX / DI 방향성 period=42, threshold=20 |
13.0% | -40.2% | 0.63 | 0.32 | 10.5x | 33 | 20% |
| 볼린저 밴드 돌파 n=49, k=2 |
14.0% | -56.2% | 0.56 | 0.25 | 12.5x | 89 | 36% |
| Parabolic SAR step=0.01, maxStep=0.38 |
13.4% | -75.3% | 0.52 | 0.18 | 11.4x | 236 | 50% |
| MACD fast=13, slow=72, signal=17 |
11.9% | -65.3% | 0.48 | 0.18 | 8.8x | 220 | 51% |
| Buy and hold | 25.0% | -80.4% | 0.69 | 0.31 | 74.7x | 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 56-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 56-day average falls below the 203-day average