Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Berger Paints India Limited backtest
10 trend-following strategies were compared on the full daily history of Berger Paints India Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 26.3%, drawdown -58.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.4%, MDD -49.0%, Sharpe 0.76, 77% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=27, slow=282 |
23.4% | -49.0% | 0.76 | 0.48 | 158.4x | 18 | 77% |
| SMA 크로스오버 fast=51, slow=283 |
21.9% | -49.8% | 0.73 | 0.44 | 119.0x | 18 | 76% |
| Donchian 채널 돌파 entryN=12, exitN=75 |
20.9% | -54.4% | 0.69 | 0.38 | 97.1x | 51 | 90% |
| Supertrend period=17, mult=4.7 |
18.0% | -49.8% | 0.64 | 0.36 | 53.4x | 51 | 64% |
| ADX / DI 방향성 period=23, threshold=17 |
12.9% | -49.4% | 0.54 | 0.26 | 18.7x | 180 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
12.6% | -54.2% | 0.52 | 0.23 | 17.3x | 182 | 56% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
11.0% | -51.4% | 0.48 | 0.21 | 12.4x | 154 | 50% |
| ROC 모멘텀 n=124, threshold=0.02 |
9.9% | -61.5% | 0.44 | 0.16 | 9.7x | 213 | 64% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.1 |
7.5% | -55.6% | 0.38 | 0.14 | 5.7x | 183 | 52% |
| MACD fast=19, slow=54, signal=19 |
6.0% | -53.9% | 0.35 | 0.11 | 4.1x | 238 | 52% |
| Buy and hold | 26.3% | -58.4% | 0.78 | 0.45 | 278.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 282-day EMA
- Sell — Sell when the 27-day EMA falls below the 282-day EMA