Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cummins India Limited backtest
10 trend-following strategies were compared on the full daily history of Cummins India Limited. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.4%, MDD -48.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.0%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.9%, MDD -55.7%, Sharpe 0.94, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 22.4%, MDD -48.5%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=68, exitN=94 |
24.9% | -55.7% | 0.94 | 0.45 | 217.2x | 21 | 73% |
| EMA 크로스오버 fast=20, slow=36 |
22.4% | -48.5% | 0.92 | 0.46 | 132.9x | 98 | 60% |
| Supertrend period=11, mult=3.9 |
22.5% | -62.3% | 0.92 | 0.36 | 135.1x | 62 | 61% |
| SMA 크로스오버 fast=20, slow=202 |
22.6% | -52.6% | 0.91 | 0.43 | 138.4x | 29 | 67% |
| ROC 모멘텀 n=155, threshold=-0.09 |
21.6% | -60.2% | 0.85 | 0.36 | 113.3x | 77 | 75% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=1.6 |
14.6% | -41.5% | 0.75 | 0.35 | 26.9x | 132 | 41% |
| 볼린저 밴드 돌파 n=35, k=1.4 |
14.2% | -42.8% | 0.71 | 0.33 | 24.8x | 184 | 45% |
| MACD fast=20, slow=79, signal=21 |
14.3% | -57.8% | 0.68 | 0.25 | 25.3x | 196 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
12.6% | -60.0% | 0.62 | 0.21 | 17.7x | 198 | 55% |
| ADX / DI 방향성 period=31, threshold=9 |
11.2% | -67.6% | 0.57 | 0.17 | 13.0x | 298 | 55% |
| Buy and hold | 22.0% | -75.9% | 0.77 | 0.29 | 123.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 68 days
- Sell — Sell when price breaks below the lowest low of the last 94 days