Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Engineers India Limited backtest
10 trend-following strategies were compared on the full daily history of Engineers India Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.9%, MDD -68.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.7%, drawdown -88.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.6%, MDD -79.5%, Sharpe 0.50, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.9%, MDD -68.1%, exposure 46%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 8.7%p (CAGR 13.9%, MDD -68.1%, exposure 46%).
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=82, exitN=29 |
10.6% | -79.5% | 0.50 | 0.13 | 18.6x | 61 | 31% |
| Supertrend period=20, mult=3.1 |
11.4% | -69.7% | 0.50 | 0.16 | 22.7x | 169 | 47% |
| ADX / DI 방향성 period=28, threshold=10 |
10.5% | -84.9% | 0.47 | 0.12 | 18.1x | 305 | 52% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
9.2% | -79.0% | 0.47 | 0.12 | 12.7x | 60 | 24% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=3 |
9.5% | -81.4% | 0.47 | 0.12 | 13.8x | 80 | 28% |
| Parabolic SAR step=0.025, maxStep=0.16 |
9.8% | -73.3% | 0.45 | 0.13 | 15.1x | 613 | 48% |
| SMA 크로스오버 fast=27, slow=171 |
13.9% | -68.1% | 0.44 | 0.20 | 43.1x | 47 | 46% |
| EMA 크로스오버 fast=48, slow=133 |
13.3% | -71.0% | 0.43 | 0.19 | 37.1x | 43 | 45% |
| ROC 모멘텀 n=133, threshold=0.02 |
11.5% | -72.3% | 0.40 | 0.16 | 23.3x | 241 | 46% |
| MACD fast=7, slow=29, signal=17 |
5.9% | -71.2% | 0.34 | 0.08 | 5.3x | 469 | 49% |
| Buy and hold | 9.7% | -88.2% | 0.40 | 0.11 | 14.4x | 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 82 days
- Sell — Sell when price breaks below the lowest low of the last 29 days