Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Chennai Petroleum Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Chennai Petroleum Corporation Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.2%, MDD -41.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.5%, drawdown -89.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.0%, MDD -47.4%, Sharpe 0.91, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 20.2%, MDD -41.9%, exposure 39%).
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=6, slow=179 |
31.0% | -47.4% | 0.91 | 0.65 | 681.2x | 53 | 54% |
| ROC 모멘텀 n=128, threshold=0.02 |
29.0% | -51.7% | 0.87 | 0.56 | 469.1x | 113 | 54% |
| EMA 크로스오버 fast=26, slow=116 |
26.4% | -53.8% | 0.81 | 0.49 | 285.4x | 39 | 56% |
| 볼린저 밴드 돌파 n=29, k=1 |
21.9% | -45.1% | 0.76 | 0.48 | 119.5x | 233 | 43% |
| Donchian 채널 돌파 entryN=92, exitN=64 |
23.0% | -52.5% | 0.75 | 0.44 | 148.1x | 29 | 47% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=1.2 |
20.2% | -41.9% | 0.72 | 0.48 | 86.1x | 179 | 39% |
| MACD fast=12, slow=72, signal=35 |
21.0% | -69.4% | 0.72 | 0.30 | 100.4x | 187 | 52% |
| Supertrend period=12, mult=5 |
20.4% | -58.6% | 0.69 | 0.35 | 89.5x | 65 | 58% |
| ADX / DI 방향성 period=39, threshold=11 |
18.1% | -58.9% | 0.64 | 0.31 | 56.3x | 171 | 50% |
| Parabolic SAR step=0.02, maxStep=0.16 |
12.7% | -68.0% | 0.52 | 0.19 | 18.0x | 474 | 49% |
| Buy and hold | 16.5% | -89.8% | 0.56 | 0.18 | 39.8x | 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 6-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 6-day average falls below the 179-day average