Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cochin Shipyard Limited backtest
10 trend-following strategies were compared on the full daily history of Cochin Shipyard Limited. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 29.5%, MDD -27.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 20.6%, drawdown -62.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.5%, MDD -27.7%, Sharpe 1.09, 22% exposure.
CAGR reference leader: Supertrend — CAGR 30.0%, MDD -37.6%, exposure 47%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 29.5%, MDD -27.7%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=26, threshold=0.11 |
29.5% | -27.7% | 1.09 | 1.06 | 10.1x | 68 | 22% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
29.9% | -32.4% | 1.04 | 0.92 | 10.4x | 40 | 34% |
| Supertrend period=10, mult=2.4 |
30.0% | -37.6% | 1.02 | 0.80 | 10.6x | 66 | 47% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=1.1 |
28.1% | -44.7% | 0.98 | 0.63 | 9.2x | 66 | 36% |
| Donchian 채널 돌파 entryN=24, exitN=49 |
27.7% | -47.9% | 0.90 | 0.58 | 9.0x | 22 | 57% |
| SMA 크로스오버 fast=32, slow=120 |
25.4% | -44.7% | 0.87 | 0.57 | 7.6x | 20 | 45% |
| EMA 크로스오버 fast=11, slow=55 |
23.2% | -50.4% | 0.82 | 0.46 | 6.5x | 46 | 46% |
| MACD fast=19, slow=53, signal=17 |
20.0% | -48.7% | 0.75 | 0.41 | 5.1x | 90 | 48% |
| ADX / DI 방향성 period=33, threshold=19 |
16.9% | -38.0% | 0.72 | 0.44 | 4.0x | 34 | 27% |
| Parabolic SAR step=0.015, maxStep=0.2 |
8.4% | -46.8% | 0.42 | 0.18 | 2.1x | 152 | 50% |
| Buy and hold | 20.6% | -62.7% | 0.66 | 0.33 | 5.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 26-day return is greater than 11%
- Sell — Sell when the 26-day return drops to 11% or below