Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Container Corporation of India Limited backtest
10 trend-following strategies were compared on the full daily history of Container Corporation of India Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -67.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -77.3%, Sharpe 0.42, 58% 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=59, slow=101 |
13.1% | -77.3% | 0.42 | 0.17 | 19.3x | 57 | 58% |
| EMA 크로스오버 fast=47, slow=201 |
12.5% | -67.8% | 0.41 | 0.18 | 17.1x | 32 | 61% |
| Donchian 채널 돌파 entryN=92, exitN=64 |
12.2% | -67.8% | 0.40 | 0.18 | 16.1x | 28 | 52% |
| ROC 모멘텀 n=136, threshold=0.04 |
9.1% | -67.8% | 0.34 | 0.13 | 8.2x | 180 | 51% |
| Supertrend period=10, mult=3.3 |
8.2% | -77.4% | 0.33 | 0.11 | 6.7x | 95 | 56% |
| ADX / DI 방향성 period=61, threshold=22 |
2.3% | -22.8% | 0.28 | 0.10 | 1.7x | 16 | 10% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=16, mult=3.9 |
5.8% | -69.0% | 0.27 | 0.08 | 3.9x | 32 | 18% |
| 볼린저 밴드 돌파 n=59, k=3 |
5.0% | -67.9% | 0.25 | 0.07 | 3.2x | 44 | 20% |
| Parabolic SAR step=0.01, maxStep=0.34 |
3.8% | -71.9% | 0.24 | 0.05 | 2.4x | 299 | 50% |
| MACD fast=10, slow=53, signal=19 |
3.4% | -76.0% | 0.24 | 0.04 | 2.2x | 299 | 51% |
| Buy and hold | 12.3% | -67.8% | 0.41 | 0.18 | 16.4x | 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 59-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 59-day average falls below the 101-day average