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 26.0%, drawdown -58.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.0%, MDD -51.5%, Sharpe 0.75, 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 |
23.0% | -51.5% | 0.75 | 0.45 | 149.0x | 19 | 77% |
| SMA 크로스오버 fast=51, slow=283 |
21.4% | -54.0% | 0.72 | 0.40 | 108.1x | 19 | 75% |
| Donchian 채널 돌파 entryN=12, exitN=75 |
20.6% | -54.4% | 0.68 | 0.38 | 92.9x | 51 | 90% |
| Supertrend period=17, mult=4.7 |
17.7% | -49.8% | 0.64 | 0.36 | 51.1x | 51 | 64% |
| ADX / DI 방향성 period=23, threshold=17 |
12.4% | -51.0% | 0.53 | 0.24 | 16.9x | 182 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
12.1% | -54.2% | 0.51 | 0.22 | 15.8x | 184 | 56% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
10.8% | -51.4% | 0.48 | 0.21 | 11.9x | 156 | 50% |
| ROC 모멘텀 n=124, threshold=0.02 |
9.7% | -61.5% | 0.44 | 0.16 | 9.3x | 213 | 64% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.1 |
7.4% | -55.6% | 0.38 | 0.13 | 5.6x | 184 | 52% |
| MACD fast=19, slow=54, signal=19 |
5.7% | -53.9% | 0.34 | 0.11 | 3.8x | 240 | 53% |
| Buy and hold | 26.0% | -58.4% | 0.78 | 0.45 | 266.3x | 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