Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Chambal Fertilisers & Chemicals Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chambal Fertilisers & Chemicals Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.5%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -59.5%, Sharpe 0.50, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=129 |
12.3% | -59.5% | 0.50 | 0.21 | 16.3x | 45 | 60% |
| ADX / DI 방향성 period=33, threshold=11 |
11.1% | -46.7% | 0.49 | 0.24 | 12.6x | 184 | 50% |
| EMA 크로스오버 fast=47, slow=79 |
10.9% | -65.7% | 0.47 | 0.17 | 12.1x | 56 | 60% |
| ROC 모멘텀 n=109, threshold=0.04 |
10.4% | -64.8% | 0.46 | 0.16 | 11.0x | 230 | 55% |
| Donchian 채널 돌파 entryN=100, exitN=68 |
7.4% | -72.0% | 0.38 | 0.10 | 5.6x | 27 | 50% |
| Supertrend period=12, mult=4.5 |
1.4% | -59.0% | 0.21 | 0.02 | 1.4x | 77 | 60% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=0.8 |
-0.1% | -59.8% | 0.16 | -0.00 | 1.0x | 246 | 49% |
| MACD fast=15, slow=50, signal=9 |
-0.2% | -84.8% | 0.15 | -0.00 | 0.9x | 386 | 50% |
| 볼린저 밴드 돌파 n=50, k=3.1 |
0.3% | -55.8% | 0.13 | 0.01 | 1.1x | 54 | 19% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.7% | -91.9% | 0.08 | -0.03 | 0.5x | 433 | 52% |
| Buy and hold | 15.5% | -72.8% | 0.55 | 0.21 | 32.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 30-day average falls below the 129-day average