Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Escorts Kubota Limited backtest
10 trend-following strategies were compared on the full daily history of Escorts Kubota Limited. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 17.6%, MDD -56.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.4%, drawdown -87.9%).
Sharpe leader (same as main): MACD — CAGR 17.6%, MDD -56.6%, Sharpe 0.64, 51% exposure.
Return/drawdown alternative: MACD — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 17.6%, MDD -56.6%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=57, signal=19 |
17.6% | -56.6% | 0.64 | 0.31 | 142.1x | 301 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=27 |
14.0% | -69.6% | 0.53 | 0.20 | 54.5x | 155 | 68% |
| 볼린저 밴드 돌파 n=35, k=1.2 |
12.1% | -56.2% | 0.52 | 0.21 | 32.6x | 257 | 42% |
| Supertrend period=21, mult=2.7 |
11.5% | -70.9% | 0.50 | 0.16 | 28.3x | 237 | 48% |
| ADX / DI 방향성 period=28, threshold=12 |
11.3% | -77.2% | 0.48 | 0.15 | 26.1x | 310 | 46% |
| SMA 크로스오버 fast=13, slow=185 |
11.4% | -71.0% | 0.48 | 0.16 | 27.3x | 62 | 52% |
| ROC 모멘텀 n=8, threshold=-0.04 |
11.7% | -74.0% | 0.48 | 0.16 | 29.2x | 879 | 73% |
| EMA 크로스오버 fast=33, slow=103 |
11.2% | -79.4% | 0.47 | 0.14 | 25.6x | 66 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=1.7 |
10.2% | -64.1% | 0.47 | 0.16 | 19.7x | 172 | 38% |
| Parabolic SAR step=0.035, maxStep=0.14 |
9.0% | -54.0% | 0.42 | 0.17 | 14.1x | 815 | 51% |
| Buy and hold | 12.4% | -87.9% | 0.48 | 0.14 | 36.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/57) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line