Trend-Following Backtester · Guide · backtest 한국어
equity · IN
ELGI Equipments Limited backtest
10 trend-following strategies were compared on the full daily history of ELGI Equipments Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.9%, MDD -57.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.8%, drawdown -73.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.9%, MDD -57.3%, Sharpe 0.64, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 16.5%p (CAGR 19.9%, MDD -57.3%, exposure 62%).
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=31, slow=165 |
19.9% | -57.3% | 0.64 | 0.35 | 80.4x | 43 | 62% |
| ROC 모멘텀 n=38, threshold=-0.11 |
19.2% | -66.7% | 0.61 | 0.29 | 69.6x | 199 | 86% |
| EMA 크로스오버 fast=43, slow=77 |
18.3% | -57.4% | 0.60 | 0.32 | 57.7x | 57 | 61% |
| Supertrend period=18, mult=5 |
17.1% | -59.4% | 0.58 | 0.29 | 45.6x | 43 | 61% |
| ADX / DI 방향성 period=36, threshold=16 |
13.4% | -70.3% | 0.57 | 0.19 | 20.8x | 91 | 47% |
| Donchian 채널 돌파 entryN=24, exitN=78 |
17.0% | -83.0% | 0.57 | 0.20 | 44.6x | 39 | 82% |
| 볼린저 밴드 돌파 n=92, k=1.7 |
12.7% | -70.0% | 0.49 | 0.18 | 18.0x | 77 | 45% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=11, mult=2.6 |
9.7% | -66.1% | 0.43 | 0.15 | 9.4x | 77 | 36% |
| Parabolic SAR step=0.015, maxStep=0.16 |
3.0% | -81.3% | 0.25 | 0.04 | 2.0x | 380 | 53% |
| MACD fast=8, slow=57, signal=10 |
-0.7% | -83.5% | 0.15 | -0.01 | 0.8x | 451 | 49% |
| Buy and hold | 21.8% | -73.8% | 0.64 | 0.30 | 118.4x | 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 31-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 31-day average falls below the 165-day average