Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bharat Forge Ltd backtest
10 trend-following strategies were compared on the full daily history of Bharat Forge Ltd. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.0%, MDD -63.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.1%, drawdown -88.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.6%, MDD -65.8%, Sharpe 0.87, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 19.0%, MDD -63.0%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=84, exitN=57 |
28.6% | -65.8% | 0.87 | 0.44 | 2260.5x | 33 | 52% |
| EMA 크로스오버 fast=38, slow=111 |
26.6% | -69.6% | 0.82 | 0.38 | 1373.2x | 39 | 56% |
| SMA 크로스오버 fast=12, slow=152 |
26.3% | -65.7% | 0.81 | 0.40 | 1300.2x | 59 | 55% |
| ROC 모멘텀 n=92, threshold=0.04 |
24.7% | -63.8% | 0.78 | 0.39 | 860.9x | 213 | 53% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
19.0% | -63.0% | 0.66 | 0.30 | 209.2x | 158 | 47% |
| Supertrend period=20, mult=3.7 |
17.4% | -76.4% | 0.62 | 0.23 | 135.2x | 124 | 52% |
| ADX / DI 방향성 period=31, threshold=25 |
9.7% | -55.2% | 0.61 | 0.18 | 17.2x | 56 | 16% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=2.8 |
15.2% | -69.1% | 0.59 | 0.22 | 75.8x | 100 | 34% |
| Parabolic SAR step=0.005, maxStep=0.36 |
12.5% | -87.6% | 0.50 | 0.14 | 36.9x | 264 | 51% |
| MACD fast=18, slow=53, signal=18 |
12.0% | -69.6% | 0.48 | 0.17 | 32.0x | 310 | 53% |
| Buy and hold | 18.1% | -88.8% | 0.58 | 0.20 | 163.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 84 days
- Sell — Sell when price breaks below the lowest low of the last 57 days