Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Brigade Enterprises Limited backtest
10 trend-following strategies were compared on the full daily history of Brigade Enterprises Limited. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.7%, MDD -34.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.2%, drawdown -92.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 21.3%, MDD -59.6%, Sharpe 0.76, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 14.7%, MDD -34.5%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=82, threshold=0.01 |
21.3% | -59.6% | 0.76 | 0.36 | 36.3x | 161 | 53% |
| SMA 크로스오버 fast=14, slow=127 |
20.3% | -50.2% | 0.74 | 0.40 | 31.2x | 47 | 53% |
| EMA 크로스오버 fast=45, slow=57 |
19.4% | -53.1% | 0.71 | 0.36 | 26.9x | 43 | 54% |
| Donchian 채널 돌파 entryN=63, exitN=61 |
18.7% | -47.7% | 0.70 | 0.39 | 24.1x | 22 | 56% |
| ADX / DI 방향성 period=37, threshold=20 |
14.7% | -34.5% | 0.65 | 0.42 | 12.7x | 38 | 34% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=11, mult=1.8 |
14.2% | -41.4% | 0.60 | 0.34 | 11.8x | 68 | 41% |
| Supertrend period=19, mult=5 |
15.5% | -55.5% | 0.59 | 0.28 | 14.4x | 35 | 61% |
| 볼린저 밴드 돌파 n=40, k=2.8 |
9.7% | -40.1% | 0.51 | 0.24 | 5.6x | 54 | 21% |
| MACD fast=16, slow=53, signal=19 |
11.5% | -71.9% | 0.50 | 0.16 | 7.5x | 183 | 52% |
| Parabolic SAR step=0.035, maxStep=0.32 |
3.4% | -69.2% | 0.27 | 0.05 | 1.9x | 517 | 50% |
| Buy and hold | 6.2% | -92.7% | 0.36 | 0.07 | 3.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 82-day return is greater than 1%
- Sell — Sell when the 82-day return drops to 1% or below