Trend-Following Backtester · Guide · backtest 한국어
equity · IN
BSE Ltd. backtest
10 trend-following strategies were compared on the full daily history of BSE Ltd.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 50.8%, MDD -36.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 43.4%, drawdown -75.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 57.3%, MDD -45.2%, Sharpe 1.41, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 50.8%, MDD -36.5%, exposure 46%).
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=53, slow=149 |
57.3% | -45.2% | 1.41 | 1.27 | 73.4x | 3 | 54% |
| SMA 크로스오버 fast=41, slow=217 |
57.2% | -45.2% | 1.41 | 1.27 | 72.8x | 3 | 54% |
| Donchian 채널 돌파 entryN=11, exitN=33 |
56.2% | -39.4% | 1.40 | 1.43 | 69.0x | 36 | 69% |
| Supertrend period=19, mult=3.7 |
48.0% | -44.4% | 1.37 | 1.08 | 41.3x | 40 | 53% |
| ROC 모멘텀 n=130, threshold=0.13 |
50.8% | -36.5% | 1.35 | 1.39 | 49.3x | 33 | 46% |
| MACD fast=27, slow=45, signal=34 |
41.7% | -38.5% | 1.33 | 1.08 | 27.3x | 54 | 49% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=28, mult=2.1 |
37.5% | -38.0% | 1.22 | 0.99 | 20.5x | 44 | 38% |
| 볼린저 밴드 돌파 n=20, k=1.1 |
37.0% | -39.0% | 1.19 | 0.95 | 19.8x | 112 | 42% |
| Parabolic SAR step=0.01, maxStep=0.36 |
36.6% | -53.3% | 1.13 | 0.69 | 19.3x | 118 | 48% |
| ADX / DI 방향성 period=23, threshold=11 |
37.2% | -48.5% | 1.12 | 0.77 | 20.1x | 110 | 55% |
| Buy and hold | 43.4% | -75.0% | 1.08 | 0.58 | 30.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 149-day EMA
- Sell — Sell when the 53-day EMA falls below the 149-day EMA