Trend-Following Backtester · Guide · backtest 한국어
equity · IN
BASF India Limited backtest
10 trend-following strategies were compared on the full daily history of BASF India Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.5%, MDD -46.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.5%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -49.8%, Sharpe 0.67, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 15.5%, MDD -46.2%, exposure 58%).
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=21, slow=116 |
16.3% | -49.8% | 0.67 | 0.33 | 38.0x | 55 | 57% |
| EMA 크로스오버 fast=55, slow=62 |
15.5% | -46.2% | 0.65 | 0.33 | 32.1x | 47 | 58% |
| Donchian 채널 돌파 entryN=102, exitN=71 |
14.7% | -50.8% | 0.63 | 0.29 | 27.1x | 24 | 53% |
| Supertrend period=24, mult=2.8 |
11.8% | -51.1% | 0.56 | 0.23 | 14.6x | 127 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=1.2 |
11.6% | -53.5% | 0.55 | 0.22 | 14.0x | 143 | 47% |
| ADX / DI 방향성 period=23, threshold=9 |
12.3% | -59.0% | 0.54 | 0.21 | 16.2x | 313 | 64% |
| ROC 모멘텀 n=76, threshold=0 |
11.7% | -48.5% | 0.53 | 0.24 | 14.5x | 207 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
9.1% | -45.6% | 0.48 | 0.20 | 8.2x | 96 | 42% |
| MACD fast=17, slow=59, signal=15 |
9.2% | -47.5% | 0.47 | 0.19 | 8.4x | 253 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.9% | -74.6% | 0.35 | 0.08 | 4.0x | 401 | 52% |
| Buy and hold | 15.5% | -64.9% | 0.58 | 0.24 | 32.4x | 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 21-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 21-day average falls below the 116-day average