Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Emami Limited backtest
10 trend-following strategies were compared on the full daily history of Emami Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.0%, MDD -38.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.5%, drawdown -76.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.3%, MDD -55.1%, Sharpe 0.76, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 14.0%, MDD -38.4%, exposure 36%).
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=19, slow=84 |
18.3% | -55.1% | 0.76 | 0.33 | 28.8x | 54 | 54% |
| Donchian 채널 돌파 entryN=81, exitN=30 |
14.0% | -38.4% | 0.74 | 0.37 | 13.8x | 32 | 36% |
| EMA 크로스오버 fast=31, slow=56 |
15.2% | -48.2% | 0.67 | 0.31 | 16.8x | 54 | 54% |
| Supertrend period=28, mult=4.1 |
14.4% | -58.8% | 0.64 | 0.25 | 14.8x | 44 | 56% |
| ADX / DI 방향성 period=18, threshold=28 |
8.9% | -24.3% | 0.64 | 0.37 | 5.5x | 64 | 16% |
| ROC 모멘텀 n=77, threshold=0.11 |
11.1% | -41.5% | 0.61 | 0.27 | 8.2x | 130 | 34% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=18, mult=3.1 |
4.3% | -32.7% | 0.44 | 0.13 | 2.3x | 26 | 8% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
7.3% | -52.1% | 0.42 | 0.14 | 4.1x | 130 | 43% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.6% | -59.2% | 0.27 | 0.06 | 2.0x | 157 | 52% |
| MACD fast=16, slow=73, signal=18 |
3.6% | -61.0% | 0.27 | 0.06 | 2.0x | 189 | 49% |
| Buy and hold | 11.5% | -76.9% | 0.49 | 0.15 | 8.8x | 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 19-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 19-day average falls below the 84-day average