Trend-Following Backtester · Guide · backtest 한국어
equity · IN
CEAT Limited backtest
10 trend-following strategies were compared on the full daily history of CEAT Limited. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 26.7%, MDD -37.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 17.2%, drawdown -83.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.2%, MDD -38.6%, Sharpe 1.09, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 26.7%, MDD -37.0%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=27, k=1.2 |
31.2% | -38.6% | 1.09 | 0.81 | 151.5x | 164 | 41% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=27, mult=1.8 |
26.7% | -37.0% | 1.07 | 0.72 | 80.1x | 100 | 26% |
| SMA 크로스오버 fast=8, slow=21 |
25.2% | -46.1% | 0.91 | 0.55 | 64.2x | 212 | 50% |
| MACD fast=19, slow=59, signal=13 |
24.5% | -47.7% | 0.90 | 0.51 | 57.8x | 178 | 50% |
| Supertrend period=10, mult=3.1 |
25.1% | -45.9% | 0.87 | 0.55 | 62.7x | 86 | 50% |
| Donchian 채널 돌파 entryN=51, exitN=7 |
18.4% | -45.9% | 0.85 | 0.40 | 22.9x | 82 | 24% |
| ROC 모멘텀 n=139, threshold=-0.04 |
23.0% | -43.4% | 0.80 | 0.53 | 46.3x | 104 | 62% |
| EMA 크로스오버 fast=14, slow=115 |
18.1% | -52.7% | 0.69 | 0.34 | 21.6x | 66 | 57% |
| Parabolic SAR step=0.01, maxStep=0.16 |
17.5% | -55.0% | 0.69 | 0.32 | 19.8x | 246 | 49% |
| ADX / DI 방향성 period=32, threshold=19 |
13.2% | -36.7% | 0.67 | 0.36 | 10.0x | 64 | 24% |
| Buy and hold | 17.2% | -83.5% | 0.59 | 0.21 | 18.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 27-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 27-day middle average