Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Crompton Greaves Consumer Electricals Ltd. backtest
10 trend-following strategies were compared on the full daily history of Crompton Greaves Consumer Electricals Ltd.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.0%, MDD -12.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.5%, drawdown -55.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.0%, MDD -12.3%, Sharpe 0.64, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 8.0%, MDD -12.3%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=10, threshold=36 |
8.0% | -12.3% | 0.64 | 0.65 | 2.2x | 54 | 15% |
| 볼린저 밴드 돌파 n=37, k=2.8 |
6.8% | -19.7% | 0.55 | 0.34 | 2.0x | 18 | 17% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=16, mult=2.4 |
6.1% | -17.0% | 0.49 | 0.36 | 1.8x | 30 | 19% |
| Donchian 채널 돌파 entryN=44, exitN=9 |
5.8% | -27.8% | 0.42 | 0.21 | 1.8x | 40 | 27% |
| Supertrend period=25, mult=3 |
4.7% | -47.6% | 0.32 | 0.10 | 1.6x | 50 | 51% |
| ROC 모멘텀 n=198, threshold=0.11 |
2.7% | -34.4% | 0.24 | 0.08 | 1.3x | 64 | 35% |
| SMA 크로스오버 fast=50, slow=204 |
2.7% | -38.5% | 0.23 | 0.07 | 1.3x | 16 | 49% |
| EMA 크로스오버 fast=26, slow=130 |
2.7% | -44.3% | 0.23 | 0.06 | 1.3x | 30 | 48% |
| MACD fast=17, slow=54, signal=18 |
-2.0% | -68.0% | 0.01 | -0.03 | 0.8x | 110 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.6% | -58.8% | -0.11 | -0.08 | 0.6x | 92 | 53% |
| Buy and hold | 5.5% | -55.0% | 0.33 | 0.10 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 10-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)