Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Bosch Limited backtest
10 trend-following strategies were compared on the full daily history of Bosch Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.6%, MDD -38.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.3%, drawdown -69.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.1%, MDD -58.6%, Sharpe 0.91, 71% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 11.2%p (CAGR 17.6%, MDD -38.8%, exposure 53%).
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=58, slow=121 |
20.1% | -58.6% | 0.91 | 0.34 | 83.0x | 33 | 71% |
| 볼린저 밴드 돌파 n=48, k=1 |
17.6% | -38.8% | 0.90 | 0.45 | 50.1x | 155 | 53% |
| Donchian 채널 돌파 entryN=69, exitN=15 |
14.3% | -30.9% | 0.90 | 0.46 | 25.5x | 65 | 37% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=1.2 |
16.7% | -32.1% | 0.89 | 0.52 | 42.0x | 175 | 48% |
| Supertrend period=16, mult=3.5 |
17.7% | -48.8% | 0.88 | 0.36 | 51.5x | 85 | 60% |
| SMA 크로스오버 fast=51, slow=207 |
19.2% | -53.8% | 0.88 | 0.36 | 69.5x | 25 | 70% |
| ROC 모멘텀 n=59, threshold=-0.07 |
18.6% | -66.9% | 0.83 | 0.28 | 61.8x | 197 | 80% |
| ADX / DI 방향성 period=22, threshold=13 |
16.4% | -41.8% | 0.83 | 0.39 | 39.1x | 261 | 58% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.5% | -46.4% | 0.49 | 0.18 | 7.1x | 187 | 55% |
| MACD fast=15, slow=32, signal=13 |
7.2% | -64.6% | 0.45 | 0.11 | 5.3x | 341 | 49% |
| Buy and hold | 23.3% | -69.8% | 0.88 | 0.33 | 157.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 121-day EMA
- Sell — Sell when the 58-day EMA falls below the 121-day EMA