Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cemindia Projects Ltd backtest
10 trend-following strategies were compared on the full daily history of Cemindia Projects Ltd. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 28.1%, MDD -46.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 18.4%, drawdown -94.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 28.1%, MDD -46.9%, Sharpe 0.85, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 28.1%, MDD -46.9%, exposure 58%).
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=4, slow=129 |
28.1% | -46.9% | 0.85 | 0.60 | 399.2x | 87 | 58% |
| Donchian 채널 돌파 entryN=48, exitN=59 |
27.9% | -67.7% | 0.83 | 0.41 | 380.8x | 39 | 62% |
| Supertrend period=17, mult=4.1 |
24.3% | -57.7% | 0.77 | 0.42 | 193.0x | 86 | 55% |
| SMA 크로스오버 fast=42, slow=213 |
24.1% | -84.4% | 0.77 | 0.29 | 183.3x | 27 | 60% |
| ADX / DI 방향성 period=42, threshold=11 |
24.2% | -53.5% | 0.76 | 0.45 | 188.3x | 147 | 56% |
| ROC 모멘텀 n=71, threshold=-0.07 |
25.3% | -70.1% | 0.76 | 0.36 | 232.0x | 239 | 66% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=2 |
20.4% | -62.2% | 0.73 | 0.33 | 88.0x | 100 | 40% |
| 볼린저 밴드 돌파 n=35, k=1.4 |
16.7% | -61.4% | 0.64 | 0.27 | 41.7x | 196 | 40% |
| Parabolic SAR step=0.005, maxStep=0.18 |
17.3% | -70.0% | 0.63 | 0.25 | 47.0x | 182 | 50% |
| MACD fast=14, slow=61, signal=15 |
14.5% | -75.1% | 0.56 | 0.19 | 26.3x | 264 | 50% |
| Buy and hold | 18.4% | -94.1% | 0.59 | 0.20 | 59.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 4-day EMA crosses above the 129-day EMA
- Sell — Sell when the 4-day EMA falls below the 129-day EMA