Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bharat Heavy Electricals Limited backtest
10 trend-following strategies were compared on the full daily history of Bharat Heavy Electricals Limited. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.2%, MDD -73.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.8%, drawdown -94.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.2%, MDD -73.4%, Sharpe 0.56, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 16.2%, MDD -73.4%, exposure 52%).
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=28, slow=212 |
16.2% | -73.4% | 0.56 | 0.22 | 99.5x | 41 | 52% |
| SMA 크로스오버 fast=38, slow=50 |
14.5% | -87.3% | 0.52 | 0.17 | 62.3x | 172 | 56% |
| Donchian 채널 돌파 entryN=18, exitN=69 |
14.6% | -89.4% | 0.51 | 0.16 | 64.9x | 89 | 77% |
| ROC 모멘텀 n=148, threshold=0.01 |
11.3% | -84.9% | 0.46 | 0.13 | 26.5x | 249 | 55% |
| ADX / DI 방향성 period=30, threshold=39 |
1.0% | -10.4% | 0.33 | 0.10 | 1.4x | 4 | 1% |
| 볼린저 밴드 돌파 n=60, k=1.1 |
4.6% | -96.7% | 0.32 | 0.05 | 4.0x | 161 | 45% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=2.4 |
2.9% | -98.1% | 0.27 | 0.03 | 2.4x | 115 | 38% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.7% | -97.2% | 0.23 | 0.01 | 1.2x | 259 | 52% |
| Supertrend period=23, mult=2.6 |
-0.5% | -98.3% | 0.20 | -0.00 | 0.9x | 257 | 49% |
| MACD fast=10, slow=22, signal=6 |
-2.4% | -96.3% | 0.17 | -0.02 | 0.5x | 742 | 50% |
| Buy and hold | 14.8% | -94.8% | 0.52 | 0.16 | 68.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 212-day EMA
- Sell — Sell when the 28-day EMA falls below the 212-day EMA