Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Deepak Fertilisers and Petrochemicals Corporation Ltd. backtest
10 trend-following strategies were compared on the full daily history of Deepak Fertilisers and Petrochemicals Corporation Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.7%, MDD -59.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -87.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -59.7%, Sharpe 0.59, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 27.3%p (CAGR 15.7%, MDD -59.7%, exposure 55%).
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=39, slow=101 |
15.7% | -59.7% | 0.59 | 0.26 | 87.3x | 77 | 55% |
| EMA 크로스오버 fast=35, slow=66 |
13.6% | -71.2% | 0.54 | 0.19 | 50.1x | 85 | 56% |
| Donchian 채널 돌파 entryN=67, exitN=47 |
12.2% | -63.3% | 0.52 | 0.19 | 34.4x | 54 | 48% |
| Supertrend period=9, mult=3 |
11.8% | -68.7% | 0.50 | 0.17 | 30.7x | 160 | 50% |
| ROC 모멘텀 n=112, threshold=-0.04 |
11.6% | -73.7% | 0.48 | 0.16 | 28.6x | 281 | 64% |
| 볼린저 밴드 돌파 n=56, k=0.8 |
8.5% | -74.4% | 0.41 | 0.11 | 12.3x | 222 | 45% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=8, mult=1 |
7.1% | -83.2% | 0.37 | 0.09 | 8.2x | 232 | 43% |
| Parabolic SAR step=0.02, maxStep=0.24 |
6.8% | -64.1% | 0.36 | 0.11 | 7.5x | 632 | 49% |
| MACD fast=7, slow=24, signal=15 |
6.6% | -64.0% | 0.36 | 0.10 | 7.2x | 578 | 50% |
| ADX / DI 방향성 period=32, threshold=5 |
4.8% | -76.7% | 0.31 | 0.06 | 4.2x | 409 | 63% |
| Buy and hold | 16.6% | -87.0% | 0.56 | 0.19 | 111.1x | 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 39-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 39-day average falls below the 101-day average